Grace was wise to immediately close the window. I don't see how he'd be able to explain if anyone else saw. He's needs to gain access to that room when no one else is around. At the very least, he could have a conversation with his wife and daughter through the window. The huge gamble is does he decide to step through the door? If he does, does Grace's body and soul get left behind and Kenzaburou then returns to his body that's laying in a coma at the hospital? I doubt things will be that easy. I'm predicting one of a couple of scenarios will instead happen:
A. The game won't let him phsycially leave until he "completes" it.
B. Kenzaburou decides that the potential risks are too great to step through the door without knowing more about it.
C. He steps through the door, taking Grace's body and soul with him. But then what? If he visits himself in the hospital, will his soul transfer back to his body? And what about the door? Will it remain open long enough for all of that to happen? If it closes behind him, then Grace's body and soul would be trapped in our world. I think Kenzaburou is going to need to learn how to make the door on his own. The other danger is whether or not magic will work in our world.
If nothing else, this chapter is a huge game changer in terms of what Kenzaburou knows. He saw his wife and daughter playing the game he is in, with himself on the screen looking through the window. If he thinks about it, he'll immediately realize that his wife and daughter have been helping him. Hopefully he also realizes that they can read his thoughts. He's lucky he's not had a single dirty or evil thought this entire experience. Which is kind of crazy if you consider it. Even the kindest, most empathetic, and selfless people will still occasionally have selfish or evil thoughts once in a while; but choose not to react to it. In the real world, no one is privy to anyone else's thoughts. So we judge people based on their actions. Kenzaburou doesn't get that privacy. His wife and daughter are able to read all of his thoughts.