Fictions

Arthur Conan Doyle and his readers are real whereas Sherlock Holmes is fictional. Usually, fictional characters are also fictional to each other. Thus, Holmes refers to Dupin, Poirot might refer to Holmes etc. I did read a detective fiction anthology where several of the characters referred to each other almost in rota. There would be a conceptual problem if two contemporaneous characters each referred to the other in this vein. The novelistic Montalbano does refer disparagingly to the fact that he is dramatized on TV. There are three ways in which fictional characters might be real to each other and Poul Anderson presents two of them.

(i) A one-off reference. Close readers of Anderson's Time Patrol series realize that the timeline guarded by the Patrol is not ours because, in it, Holmes is real - although his name is not used except in contexts where he could be fictional. (If this is confusing, read it and see.)

(ii) A shared universe:

the Wold Newton universe;
The League of Extraordinary Gentlemen;
various comic book universes, now being adapted to screen.

(iii) A multiverse where what is fictional in one universe is real in another and vice versa:

Last Action Hero (and here);
the DC Comics multiverse;
Anderson's Old Phoenix multiverse.

Holmes shows up in the Old Phoenix along with Huck Finn and others.

This leads to another issue. There are kinds of multiverses. Parallel universes might have:

different histories;
different laws of nature;
inhabitants who are real in one but fictional in another.

SM Stirling's multiverse(s?) are of only the first kind. In the Emberverse, some laws of nature begin to work differently on Earth after a certain date but (we think that) this is because a higher technology has tampered with them so this is another alternative history but not a different kind of universe.