Watch the FMV, while Cloud is hanging, he goes into his mind and fights Sephiroth. Sephiroth is complete in his mind. During the other fights against Bizarro Sephiroth(The one after Jenova Synthesis) and Safer Sephiroth(The one after Bizarro that looks like an angel), the are incomplete. These Sephiroths do not have legs. They only have from the torso up, just like the real Sephiroth the way he was seen crystalized in the Windwirl Maze before the WEAPONs come out. But in his mind Sephiroth is complete, showing that this is not a real fight but only a fight in Cloud's mind. After you beat Sephiroth, you notice that Cloud is still hanging and hasn't fallen. This proves that he never went anywhere, and it was just a battle over dominion in Cloud's mind.