Based solely on what appears in the Harry Potter movies, there appear to be inconsistencies with the existence of some things in the muggle vs magical realms. 

In Harry Potter, there are clearly magical realms overlaid on the everyday muggle world, which are invisible/inaccessible to muggles, at least without magical intervention. Among them, I believe are:

 - Diagon Alley
 - Platform 9-3/4
 - Hogwarts Castle
 - The Black family residence at Grimmauld Place
 - The Ministry of Magic

The Burrow seems to be an inconsistency - it appears to exist in the real world, despite open displays of magic, including the family "clock" device showing the location of various family members, and the dishes washing themselves, and even the improbable structure itself - it seems to need magic just to hold itself up. It ought to be in the magical realm, but there is never any indication that anyone crosses between magical and muggle realms when arriving or leaving.

Likewise, the Hogwarts Express line seems inconsistent - platform 9-3/4 is clearly hidden from muggles, but when Harry and Ron take the car (in the muggle world) to catch up to the train, they make no explicit crossing into a magical realm, suggesting that the train is traveling the muggle world despite its departure from a magical platform.

In which realm (magical or muggle) do the Burrow and the Hogwarts Express exist? How are these apparent inconsistencies resolved?