Dread is just going to be fighting a million different things from Eorzea. Primals. Ultima and Omega. Garleans, dragons, King Moggle Mog. It isn't even necessarily a bad dream -- this is just Dread's Eorzean life, for the most part.

Edge, on the other hand, is having dreams about monsters, death, and mayhem. Get to see another side of this cheerful and fiery ninja as he struggles with his people being killed by monsters and technological nightmares!

Zetta has a body in his dream, and is running around at full strength. Welcome to a Netherworld of dreams! Welcome to the true nature of the Overlord! Hyaaaha ha ha ha ha!