@carl back to the nexus and to a different "world" (2, 3, 4 or 5) they are the other archstones
An archdemon is the "boss" (the last boss) at the end of a world.
You just finished 1-1 and 1-2. You could go to 2-1, 2-2, 2-3 (and beat the boss) to open the fog and go to 1-3 for instance.
or 3-1, 3-2, 3-3, or 4-1, 4-2, 4-3 etc. You're free to explore in any order you wish in the other worlds.