My personal theory? The Source exists in the universe at large in a protective bubble (or Reality Marble). Every Shard is tethered to it through the Rift, which is a dimensional distortion where time and space become muddled (as proven by Gilgamesh's many many shenanigans over the course of the franchise). Other worlds on the outside looking in would not notice anything different to the star, and looking outside from on a Shard would not let you see anything other than what is outside of the bubble (meaning the moon is the same everywhere, and possibly outside it within a certain distance). Anything coming into the bubble not originally from a Shard or the Source would be directed onto the Source (explaining why Middy, Omega, and the dragons are only found there). Dalamud was likely on the inside edge of the bubble, making it only seeable on the Source.