Zeshi is the overlord of the new world as stated by the author. Ainz and his crew are a catastrophy to all the inhabitants and countries that spread throught the new world. And could very well dictate their future state of affairs,by for example openly showing himself as a threat,conquering them,scaring them,subjugating them in one way or another. The only beings who , as far as is know for now,who are to pose a problem, though hoe much of one is up for debate,are the dragon lords who defeated the 8 greed kings, zeshi to an extent along with the theocracy and their soon to be discovered sacred artifacts, though my guess is that they will take in a fury that will sweep the entirety of their existance out from this earth. Other than those your guess is as good as mine, but if any of the 13th heroes, other than and including those that we know about, are alive they could pose a challenge. Maybe Renner in the future,after she has more than enough time to prove her loyalty and be given even breathing space to scheme,but I would not know why she should go out of her way to jeopardize her hard won privileges. Future King-consort Climb is an apt example for this situation,with the power of his will he shall conquer the known and unknown of the new world
Be informed that when the author covered NW power level, he only mentioned humanoids so the statement "Overlord of the New World" only applies to HUMANOIDS. Within the NW power level list no dragons were even mentioned of which would be categorized as HETEROMORPHIC. My guess is that those "True Dragon Lords" who did not join the war against 8GKs might pose the biggest risk as they might be still around somewhere in NW. DDDL is one of them, which managed to slay a Player equipped with one of the "Twenty" WCIs. Maruyama even stated that somewhere in the latter parts of the LN a great war would ensue which will involve countries outside the continent (current story only covers relatively smaller area of NW and numerous demi-human countries far beyond the Beastmen Country still exists out there) against Nazarick.