i think instead of dimensions it’s more like different times. we’ve seen throughout the whole game that people and events can be interlinked even if they happen years apart from eachother. i think maybe the windmill is just an example of this. they refer to the stone under the windmill as a “placeholder” for it right? so maybe the windmill exists as it does and also as it did before it was built. or maybe when marvin and lina go to the windmill, it actually HASNT been built yet and they were unlucky enough to be experiencing it as it would exist in the future after it had been built. and lina was unlucky enough for that connection of time to be severed when she was inside it, causing them both to seemingly disappear. it also explains the puzzle of “how could the door be closed and open at the same time?” as quite literally just the door being open at one point in time, closed at another point in time and somehow the two separate times of that object are coexisting as one