One of the biggest questions in Stranger Things 5 has been about Vecna and where he took Holly Wheeler (Nell Fisher) and the other kids at the end of "Sorcerer," the fourth episode of the season. After about a month of waiting, we finally got an answer of sorts, thanks to Stranger Things 5 Vol. 2.
The season 5 premiere officially kicks off with Hopper (David Harbour) going into the Upside Down for "a crawl. He would search and search for any sign of Vecna (Jamie Campbell Bower), but he never found anything. Then, a demogorgon crashed through the Wheeler house to kidnap Holly, and from there, things got really weird.
Eleven (Millie Bobby Brown) and Hopper tracked Holly to this mysterious wall in the Upside Down. They believe Vecna took Holly through the wall and his hiding just on the other side. As it turns out, Eleven and everyone else was wrong about the wall.
It is, in fact, just a wall, but it's not where Vecna is hiding Holly and the other kids.
Spoilers ahead for Stranger Things 5 Vol. 2!
Where did Vecna take Holly and the other kids?

Holly is not in the Upside Down at all, and neither is Derek (Jake Connelly), or Vecna, for that matter. As many have theorized while watching Stranger Things 5, Vecna has taken Holly, Derek, and the others to the Abyss, as Dustin (Gaten Matarazzo) calls it later in Vol. 2. It's actually a completely different world connected to Hawkins via the bridge, which is the Upside Down, or so it appears.
Some fans and those who post theories on social media have dubbed the Abyss as "Dimension X," but I think it is the same place, basically. It's where the Mind Flayer, the demogorgons, and other nasty creatures, probably, come from.
We know this is true when Holly wakes up from her "trance" at the beginning of "The Bridge," episode 7. Holly flees from Vecna'a lair on the Abyss and crawls through a portal where she falls through space and time back to the Upside Down before Vecna somehow tethers her back to the Abyss.

To break it all down, the Abyss is where Eleven sent Henry Creel through space and time. When Dr. Brenner (Mathew Modine) had her to find Henry later and Eleven touched the demorgorgon, she opened, I believe, the pathway between the worlds through the Upside Down, somehow. Dr. Brenner knew that his place was there because his father, while working to make ships invisible for Project Rainbow in the 1940s, actually traveled there himself, which is how Brenner knows about it.
So, this whole time, Vecna has not been in the Upside Down. He was simply operating from there in the fourth season at Creel House. After getting rocked by Eleven and Nancy, Vecna retreated back to the Abyss where's been planning and plotting.
What is Vecna's big plan?
During this batch of episodes, we also see Will hijack Vecna's powers and use it against him through the hive mind. So, we learn what Vecna is planning through Will. Basically, it appears he's using the kids to give them powers of some kind, like Will, perhaps, and then amplify those powers to bring the worlds together.
He's been very clear that he's trying to shape a new world, and it appears that he's basically planning to overlap the Rightside Up with the Abyss.

In "Shock Jock," the fifth episode of the season, Vecna, as Mr. Whatsit, reveals to the kids what his plan is specifically. He tells them that they're going to work together using their "dormant powers" to channel their energy and drive out the darkness. He uses A Wrinkle in Time as an example the kids understand and says they are the "light" driving out the dark, basically.
In reality, it appears that the kids are becoming the darkness to drive out the light, which would be our heroes from Hawkins and the real world. The battle ground, it appears, will be in the Upside Down.
There are still some questions we don't know the answer to yet. Most importantly, we really don't know what or how Vecna is going to use the kids like Holly, Derek, and the others. That, I believe, will be revealed in totality during the Stranger Things 5 finale on Dec. 31.
