I am a big fan of dream-worlds, faerie-lands, parallel universes, and so forth. The great struggle with all of that, though, is that - almost by necessity - it can feel as though events in the "non-real" otherworld can feel precisely that: non-real. They can lack weight and substance. It can feel as though nothing there has meaning, or can change, or can really be interacted with. On the other hand, if you start to introduce petty real-world concerns like money, land, and so forth into a faerie otherworld, you deprive it of its difference and make it seem like simply another part of the "normal" world.
I know of no better illustration of this than Alice in Wonderland and Through the Looking-Glass. In those stories the otherworld doesn't play by our rules of economics, politics, geography and so on. It operates on a different logic and has different considerations. It doesn't even abide by our understanding of time or space. As a consequence it has a strangely permanent sort of a feel - there is always the sense that Alice is an alien in it and her presence there doesn't particularly affect anything. That is part of those stories' charm, of course, but it would be hard to make an actual game purely about the Alice books. (Though A Red and Pleasant Land did a great job of pastiching it while mixing it in with other influences.) What does Alice do except wander around as a stranger in a strange land and encounter weird things? Put in more prosaic D&D terms - what would a party of PCs do in Wonderland except wander around as strangers in a strange land and encounter weird things? Searching for treasure or conquering new realms or doing missions for the Queen of Hearts seems in a sense like a category error. Wonderland isn't about that.
This is why the Tim Burton film of Alice in Wonderland was so dreadful. Not satisfied with simply re-telling Alice in Wonderland, Burton felt compelled to make it an actual story about power, rulership, and so on. This made Wonderland into just another fantasy setting, full of political struggle, which is just diametrically opposite to what Lewis Carroll was driving at in every single sense I can think of. Burton made all of it - the Queen of Hearts, the Mad Hatter, the March Hare, the Cheshire Cat - just a vaguely charming version of any given fantasy setting, with a by-the-numbers high fantasy plot.
I call this the Mythago problem, after Holdstock's Mythago Wood books. The Mythago Wood books are great, but they aren't gameable. That's because the eponymous wood - a faerie otherworld if ever there was one - isn't a world in which typical D&D concerns (wealth, war, politics, quests, etc.) matter. It's a world where emotional concerns like father-son relationships and the growth from adolescence to adulthood matter. It's about expressionism. It's not about gathering XP. Play a game of D&D in Mythago Wood and it's not Mythago Wood anymore. It's just a wood full of stuff to kill, rob, play politics with, etc.
I have been wrestling with this problem a lot writing Behind Gently Smiling Jaws. I think I've got there - though the proof will have to be in the pudding - but its viciousness shouldn't be underestimated. The moment you introduce human concerns into a dream-world, you can quite simply end its independent existence as a dream-world and render it mundane. Kadath isn't Kadath if all you're doing there is the normal D&D things...but if you're not doing the normal D&D things, what do you actually do there?