In order to exit out of World Dance Mode, you have to pause the game after a match, then navigate to the upper left corner and select World Dance Mode.
After selecting this, it will flash a warning that all unsaved progress will be lost. You can go ahead and click Yes and this will take you back to the main menu.
After selecting this, it will flash a warning that all unsaved progress will be lost. You can go ahead and click Yes and this will take you back to the main menu.