Yes Gameplay would be one, since you can control the Camera. Sub States might be things like Creative Mode and Survival Mode, though those would be per Player ofcourse.
The Main Menu would be a State since it does use the 3D parts of the Game. This is also a good thing to make sure the graphics actually work on the Device you are playing on, since it might crash there. Obviously Graphics Settings can be done from the Launcher if needed.
And the Model Editor definitely requires its own State too, since it should be as easy as playing the Game, while also having a more special Camera Setup (like a Turn Table) for when you are not deciding to be flying around.
One state to maybe consider is the Tutorial State, a State similar to Factorios simulated Map, that you can open whenever, while being in the normal Game, to learn about a Game Mechanic (such as Train Signaling in Factorio), and once that Tutorial is done you get back to the normal World. In Singleplayer this would stop time, and in Multiplayer it would set your Player to AFK Mode while you are in the Tutorial.
This could be done as a Game State or as a separate World, unsure what to do for this yet.
As for Loading Screens, I am not sure if I need them, but I probably do.
But yeah, I need to actually start doing all those Tutorials, and not just the few I did when I learned the basic concepts of Rust. Instead I am trying to figure out Ad-Hoc WiFi with my Pi Zero W. XD
Edit: Also interesting, if I Middleclick a link on the Forums, it does not count the Link as clicked. That explains why I often dont count to the Click Counter.