> How should I make sense of this line from https://en.wikipedia.org/wiki/Odin#Roman_era_to_Migration_Pe... : "There is no direct, undisputed evidence for the worship of Odin/Mercury among the Goths, and the existence of a cult of Odin among them is debated."

You should read "the worship of Odin" and "the existence of a cult of Odin" as meaning the same thing. The sentence wouldn't mean anything different if it said "there is no direct, undisputed evidence for a cult of Odin/Mercury among the Goths, and its existence among them is debated", or "there is no direct, undisputed evidence for the worship of Odin/Mercury among the Goths, and it is debated whether he was part of their pantheon".

> Definition 1 starts 'The veneration, devotion and religious rites given to a deity'.

There are two concepts here:

1. Belief that a god or spirit exists.

2. Rituals intended to communicate with, maintain good relations with, propitiate, or placate a god or spirit.

"Worship", "veneration", and "devotion" all refer to both of those concepts. "Religious rites" refer to the second one.

(Compare https://www.merriam-webster.com/dictionary/worship : "to honor or show reverence for as a divine being or supernatural power".)

So a reference to belief in a deity is an attestation of "worship", "veneration", and "devotion". For rites, Tacitus mentions that Mercury receives animal and human sacrifices while other deities only get animals.

> What do we call a personified supernatural being who is not worshiped? Are there really no such entities?

In the ordinary sense, obviously not, because acknowledging that something is a supernatural entity is worshiping it. But even in the sense of particular rituals, there are no such entities. All supernatural beings receive prayers some of the time.