In Pro Beta 1.1, What's Here should work with custom locators that are published as geocode services, but support for custom locators added from a file folder to the project still won't be added until Pro 1.1 Final.
As far as why the World service is not working... Are you signed in to Pro through ArcGIS Online or through a custom portal? Starting with Pro Beta 1.1, all portal locators are added to a project automatically (and as you noted, cannot be deleted). If you're signed in through arcgis.com, you should get the World service added to your project (along with any other locators published through your account). If you check your Locators folder, it should be there. However, if you're signed on through a custom portal, this may not be the case, and you would have to add the World service manually through a server connection (Connect to the ArcGIS Online World Geocoding Service—ArcGIS Pro | ArcGIS for Professionals ).
Let me know if any of this helps or if you have any additional questions. Thanks!