"Chaos is an energy. It's everywhere, but in other places it's settled into patterns- been made into worlds. Magic works for one world, but it doesn't work here because it only belongs to one world."

Sadly there was no good way to get out. It theoretically worked, but most newcomers couldn't manage it- and then there were consequences once you got back.

"The city wanted you here, so it called you out of your world and into this one. You can learn to change things here, through Bending. You can even get most of your old powers back, if you work hard enough. But you're here to change things, and to be changed. Sometimes. When the city feels like it."

Thus, the technicolor ponies. And the girl talking to Ascot.