Star

Stars are massive, luminous balls of plasma that are held together by their gravity.

In the Kingdom Hearts games, each star is the fragment of one specific world. Should a star stop shining, that would mean that particular world has disappeared from existence, most likely from destruction from the Heartless.

In Kingdom Hearts, many stars disappeared, but they were restored after Sora and his friends stopped Ansem's plan to plunge the world into darkness.

Trivia

 * When Donald and Goofy first arrived at Traverse Town, they discovered a star corresponding Destiny Islands fade out of existence.
 * In Mickey's letter to Donald (before Destiny Islands is attacked by the Heartless), Mickey mentions the fact that the stars have been disappearing, one by one, and so he went to find out why.
 * In Simba's flashback, he is taught by his father about the previous kings of the Pride Lands being up in the sky in the form of stars, indicating that perhaps not all stars are to specify a certain world - or at least, not those stars around the Pride Lands.
 * Not all stars represent worlds, for another example was constallations of Sora, Goofy, and Donald appeared in the sky, meaning they were now officialy heros. However, this may only work in the world; Olympus Coliseum/Underworld.