Red room question

Like a lot of others, I loved the show, but wasn't a fan of the final episode (the final two for me, loved it up until episode 8, then 9 and 10 were disappointing). But how each character had a version of the red room. I imagined it was the red room playing tricks with their mind (like say Luke thought he went outside into the treehouse, but he actually went upstairs and into the red room). But the scene with Theo using it as a dance studio and then Shirley banging on the outside seems to really make you suspend your disbelief that Theo is in a different room in her mind, but still in the red room. And is the room fooling them all into thinking they all have rooms (like say Theo can look out the window and see Lukes imaginary treehouse?). I found that part to be slightly confusing...a decent twist, but a little odd.