The Crimson Moon is a Sky & Weather introduced in the 16.8.0 update.
It appears to be a thick square that is basically a crimson colored sky with clouds and the moon being around the same color shade.
Apparently, it has no use and is just used for cosmetic purposes.
- The blood moon is a real thing. It doesn't redden the sky, but many games like Pixel Gun 3D, Terraria, and Breath of the Wild redden the sky.