Yes. I have never belonged anywhere. I am not a TCK.. I had been in America most of my life, until I moved here. When it came to culture, there was no real difference at all to me. I was out of it in both countries.
I fit in most with foreign people, because they also do not belong. But they have a country behind them that is theirs, and I never really did.
I think it's not bad to make up things because you want to be able to understand real things better. I don't think it's bad to feel like you belong there, either.... You do, kindof. It's part of you, and you're part of it, and.. that's not really bad. At least, I hope so, because that is how it is with me, too.
But I don't think avoiding real life is good, if you keep on doing it and never work through the things you don't like and don't understand. That's not really good, no matter what it is you do to avoid real life... whether it's alcohol or cheap romances or irrational dogmatism or whatever. Or worldbuilding.
But you don't have to understand everything right now. You just don't, and you won't. So avoiding something for awhile, until you want to work through it... I may be wrong, but I think it's OK. At least... depending on how relevant the issue is to your life right now. I mean, I never really worked through the whole thing about.. death and stuff... for a long time. But when my friend died, I kindof had to. It wouldn't have been good for me to put it off, then, because... it just wouldn't have worked out all right if I had avoided it.