Velocity is a network, meaning all worlds and most plugins will be deleted. Velocity connects servers together.
(e.g. say you own 3 servers: MyServer1, MyServer2, and MyServer3. If you set MyServer1 to velocity, then you can connect MyServer2 and MyServer3 to MyServer1. MyServer1 will have everything deleted from it, and if you try to connect to MyServer1 via /join or direct connect, it will instead send you to MyServer2 or MyServer3. Keep in mind that all servers have to have a plain to become or join a proxy like velocity.)