Besides, if the wells were truly virtual worlds. Then they wouldn't cause psychological damage the detectives when they end up dying there.
Yes they don't suffer permanent death, but Momoki himself states they can only repeat the process of ejecting and injecting into the well before it causes permanent mental harm to the pilots.
A virtual world cannot cause that.
Also considering that the wells can be updated and upgraded in real time, its physically impossible for them to be VR.
The Wells are real. Which means that Uraido's well counts as a boundless world. And Kaeru/Kiki's well is actually her subconscious mind and memories.