I think it was a physical entrance, why else would Roland and Wentworth have disappeared from the 'real' world?

The reason why she could take iron in is because the entrance wasn't magnetic like it was for Granny. In Lancre they had put up the stones to prevent the elves from entering the discworld. On the wold, they had no such protection, because the entrance wasn't permanent, it was only temporary while 'The worlds collided.'