I'm really enjoying this game and I'll  buy it on 21st. 

On the demo, I set a second settlement and now I can't enter the first one. Is there any way to come back to the first one?

So, does this mean you'll be able to build multiple settlemens on a same world map? That would be crazy

That is a bug that was long since removed. It is not intended that there will be multiple cities like that in game. In the full version that bug is gone as I said and there is a different overmap ui.
It is not the primary intention that you build multiple settlements on the map of that kind.