Matsumori Days

Anyone who plays the game will damn well know there's something odd about the dream world. The fact that multiple people have the same dream is a giveaway.

However, when you involve supernatural events like that, nothing prevents it from being both real and a dream at the same time. The characters could be dreaming it all while those events at the same time takes place at another dimension or something. Involving an unexplained supernatural event opens up practically every door. For that reason, you can't expect the player to link the lack of "dream effects" with the idea that maybe it isn't just a dream. Again, any player will know that there's more to it than just a dream.

If you want the player to know the dream effects were left out on purpose, I think you can more or less have the characters say that. Dreams in real life are often not only "foggy", but also incoherent. They can jump from one event to another in a way that were it a story, it would have looked like the author started writing one plot, then in the middle forget what plot he was writing and instead wrote a different plot. For example, I've had dream where I first was in one type of environment and later I was in a completely different environment without any clear reason to why I'm suddenly somewhere else. I didn't either notice anything was wrong until I woke up and then thought about the dream. The characters can discuss that fact and comment that the dream they all had was both way to clear and coherent.

Unfortunately, I don't think there's really any tricks to making the player ask questions though. The better the writing, the more curious the players will be. It's very simple really, whenever something doesn't make any sense based on the information you have, either you lack the information that will make sense of it or it is so that it just doesn't make any sense. If you want the player to trust you on that it's the former, you need to have shown them earlier that things does make sense. Basically, pay attention to the small details and write them so that the player knows you're thinking things trough.

Crap, the first point I made just got completely trashed by Everguard!

Another common characteristic of dreams is that bizarre things actually don't get questioned at all by the dreamer or any other people. The first step is establishing characters and the limits of the game world, then you can play around with going over these boundaries in the dream world. It doesn't need any visual effects, although a clear ending of the scene preceding the dream world is in order; such that the player wouldn't expect a jump to wherever it is the dream world is taking place (although, at the same time, if the player believes that what is happening is actually feasible in the waking world, that's not such a bad thing either, it gives more emphasis to the characters when they say things they don't say, or go along with bizarre events that would normally be questioned.

When the game is being shown entirely from the protagonists' point of view, it's extremely difficult to make the player aware of things that the characters aren't aware of.

Well, it is hard if you want to do it in a way that resembles good storytelling. Otherwise, it's actually extremely easy, so easy many writers does so in accident.

For example, there's a countless of RPGs where the player knows that the church is evil even before there's has been any sign of said church doing evil things while the characters won't notice until they get evidence shown right into the face. In this case, the player has already seen a lot of "OMG, the church is evil!" plots while the characters haven't.