Ryan Reynolds' Free Guy takes place in a diverse universe of characters, franchises, and real-world people, but the question remains as to which universe it actually resides in. In the action-comedy romance, Ryan Reynolds plays an NPC (non-playable character) who suddenly realizes this fact, gaining sentience and attempting to change the digital world in which he lives. He does this initially to gain the affections of Millie (Jodie Comer), the real-world woman he falls in love with who inhabits the game as Molotovgirl. However, Guy's digital world, known as Free City, is in danger of being shut down by Taika Waititi's malicious game publisher, Antwan. Guy joins forces with his in-game friends to help stop that from happening, becoming the hero of his own story and saving the digital world in which he lives.
However, deciphering what world Free Guy is actually saving is a little tricky. For one thing, Guy is saving an online, digital world, much like Fortnite or Grand Theft Auto, which ultimately resides on a cluster of servers in the real world. Guy's entire existence is, seemingly, tied to the real world in that way, but the online environment proves to be a saving grace of sorts as well. The bigger question is what universe the real world in Free Guy takes place, as there are a number of characters and cameos that call it all into question. Waititi, Comer, and Keery are all actors in the real world, but play fictional characters. However, Chris Evans upends that all.
During the film's finale, Guy squares off against Dude, a beefed-up, not-so-smart-but-very-powerful NPC that's meant to stop Guy in his tracks. However, Guy is able to access a number of items from his game glasses, including Captain America's shield. The movie cuts to Chris Evans, as himself, sitting at a coffee shop watching the battle between Guy and Dude on his smartphone, and cursing just after Guy uses the shield, breaking the fourth wall. What this implies, ultimately, is that the real world is the same as the one we all live in, where Chris Evans is the actor who played Captain America in the MCU, as is the actual case. As such, it makes for a perplexing (albeit fun) cameo as it implies the other actors in the film are not themselves, but fictional characters.
Free Guy could have shown cameos of Waititi, Comer, and Keery (or any of the other actors in the "real world") play themselves in one scene or another, but it's really not necessary to convey that Free Guy takes place in the real world. Evans has a similar cameo in the apocalyptic satire Don't Look Up but played an actor named Devin Peters, which allows that movie to exist as fictional, as it doesn't break the fourth wall as Free Guy does. Oddly, Evans has a similar part in Edgar Wright's Scott Pilgrim vs. The World, where he plays a big-name Hollywood actor named Lucas Lee, who appears in clips from his in-universe movies in that film. However, neither Don't Look Up or Scott Pilgrim have Chris Evans breaking the fourth wall as himself.
It's also entirely possible that the cameo is meant to be more ambiguous. While Evans comments in his brief Free Guy cameo on Guy using Captain America's shield, it's never expressly said that it's Chris Evans sitting there and watching it. By all accounts, Chris Evans could be just another random character in the movie reacting to what he's seeing on his phone, which the entire world appears to be watching. The audience knows it's Chris Evans and that he played Captain America, but the connection doesn't go beyond that wink. Ultimately, Free Guy most likely takes place in the real world we all live in, unless it's assumed that Evans is playing someone other than himself in the cameo, which would make the real world a fictional movie "real" world. If all that is too confusing, then it's perfectly fine to simply enjoy the cameo at face value, as most Free Guy fans will likely do.