Magnus Meanderings, Ta'Verin Chronicles by Glantri
There is a certain amount of truth to this. If you allow the nightmare to influence you, it becomes harder to resist, and it can warp your mind. I do not know if it is a thing of chaos or controlled by the shadow, but the result of those controlled is madness.
Leaving the dreamworld is a potential way of avoiding the nightmare, but that just leaves it waiting for other poor fools to stumble upon, and they are likely not trained. I understand that is a common way for your kind to die. They never return, after being stuck in a nightmare cloud.
If you were able to wake, you actually were only on the periphery of the nightmare itself. It gets worse inside. Once you're inside all knowledge that you're in the dream fades away, and reality is rewritten for you. The only escape at that point is for someone to pull you out, or for you to manage to exert your force on the nightmare, strongly enough to convince it it's not real. It's a struggle though, as it's working to convince you it IS real. Every step towards the nightmare being real makes it harder to contemplate it not being real, perpetuating the cycle and making climbing out harder.
He pauses for a bit to give you time to absorb and respond.