I think the secret world ( if it's called that) is basically a metaphor.
Dante must travel inside of his own mind, in order to unlock events that were already there. It's something like "you know there is something there, but you're not sure about it".
The chains are what keep blocking Dante's mind. The giant statue is basically Dante's memory chained to elements that prevent him to remember his full life story.
Once all the chains broken and released, the giant statue ( Dante's mind) will be free, thus leading Dante to enter that place and talk to his mother. That's the place where the relationship between Dante and his mother is gonna be developed. The blue roses are hints left by his mother ( already assuming her angel form). It's the only way that his mother had to comunicate with him, because somehow she was also chained to that event. After Dante releases all the chains, Eva will also be released, eventually helping him to understand what's going on.
The enemies that Dante face in that place, are Dante's inner demons. Dante already had to deal with demons even before the game's events. So, in order to fully understand himself and his mind, he must deal with past issues, thus explaining the demons.