The world is vast. Mind bogglingly huge. You may thing that a trip down to the store is a long way, but that's just peanuts to the universe. It encapsulates not just the well defined popular works like novels and movies, but every story that people care about, no matter how few. Literary titans from works you had to read in high school sharing space with someone's DeviantArt OC. The world does not exist in the stable form of reality, but instead in a lose collection of settings and scenes knitted together haphazardly, like someone's amateur quilt.
Despite the chaos of this arrangement, there is some semblance of order in the way that the world stitches together. Generally, stories are ordered within the world by their "publishing date;" the time they were first told to an audience. Stories published on the first day are essentially unchosen neighbours. One can travel chronologically, going either further into the past or closer to the present. This is the closest thing to true cardinal directions that fictional characters have and even then it's finicky. Most of the world runs on a whimsy logic of finding your way to where you want to go somehow, even if it doesn't make much sense.
Even fictional characters ask questions about the limits of the universe. While their existence may be fairly contained and explanatory within their stories, there's still questions about the world as a whole. Do limits exist, and if so where? What are they like? The conceptual sea is the answer to questions about the outer limits of the world. It is mostly unknown territory, especially since if it functions entirely as assumed it's unlikely that anyone would be able to enter far into it anyway. It has not been proven to exist definitively, but is included in all serious models of the world and exists beyond reasonable doubt.
The conceptual sea is used as an end point of the world, but that is not exactly correct. It is not where the world ends, but where the world ceases to be comprehensible to the average observer, becoming an altered state of existence that could theoretically extend infinitely. It is where the relatively stable, concrete concepts of characters, settings, and stories begin to abstract to the point of become archetypes and ideas. Here you would find such vague thoughts as "what if I woke up tomorrow and I was invisible," the archetype of the trickster as a person, the setting of the future. It is bits and pieces of what will be story, the murky realm of half formed dreams.
Because of these traits, the conceptual sea is fraught with religious significance for most inhabitants of the world. Most obviously, it serves as a land of origins, and distinct place to pay homage to where you came from. However, it has also been extrapolated to serve as a kind of afterlife in many belief systems. Once you are forgotten and die, you break down into your base components, which then return to the conceptual sea to be picked up and used again by another storyteller. It is the fictional character version of reincarnation.