When using a respawn anchor, as well as the setworldspawn command, the player will still spawn in the overworld.
MC-184222
Respawning in the Nether not Functioning
Resolved
Awaiting Response
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did you click with RMB on the anchor? Also, you can't use setworldspawn in dementions other than Overworld, because it sets world spawn and not the respawn point. For setting your respawn point use /spawnpoint