A good way to look at a quantum wave function is to look at a still photo of lightning. Every possible path of lightning is possible as it could fork this way or that. IF you look at a point along the path of a bolt of lightning, we could say the wave function collapses at that point. That bolt still continues to go in any direction, making a different world depending on where it may go. When the bolt of lightning interacts with the world, it can be said that it becomes entangled with that world. There are many worlds working at the same time but that does not mean there are many universes.

There is a reality that many universes do exist but that is beyond the many worlds working theory.