A central goal of vision-language model (VLM) distillation is to transfer both the teacher's language capabilities and its visual understanding. However, existing methods primarily supervise the student's output, leaving visual understanding implicit. Our analysis reveals that a student can match the teacher's answer without relying on the same visual evidence, raising the question: how can we ensure the student responds to the visual information that actually determines the answer? To this end, we propose \textbf{Cross-World On-Policy Distillation (CW-OPD)}, which explicitly supervises the student's response to changes in visual evidence. For each example, CW-OPD constructs two visual worlds that share the question and scene context but differ in answer-critical evidence, yielding different answers. We perform on-policy distillation in both worlds and distill the teacher's cross-world belief transition, encouraging the student to match not only \emph{what} the teacher predicts but also \emph{why} its prediction changes with the evidence. A gradient analysis shows that this term is invariant to errors shared by both worlds and supplies a corrective signal invisible to endpoint matching alone. In this way, CW-OPD makes reliance on the relevant visual evidence an explicit distillation target rather than an implicit consequence of output matching. To diagnose whether a model truly grounds its answers in visual evidence, we introduce CWBench, which measures cross-world consistency via Cross-World Pair Accuracy (CWPA). Experiments on Qwen3.5-4B show that CW-OPD outperforms the strongest baseline by \textbf{1.2} points on average, and the 4B student exceeds DeepSeek-V4.1 (552B) by \textbf{22.4} CWPA points on CWBench. Code is released in https://github.com/baokou-fw2/CWAD.

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