I think the "it was all a dream" or "it's all in their head" sort of fan theories come from a place of denial. If the story is real (even in a plainly fictional movie setting), and a character shows development, learning, growth, and change over the course of whatever happens - that could have repercussions in my life. It is easy to get into a rut of behavior and to steadfastly avoid thinking about all of the things you can and should change in your life. If entertainment shows me people who actually do change based on a need to change something about themselves to become better people, then I am forced to think about that and consider what that means for my life. That could mean that I actually do need to be more considerate, healthier, or whatever it is. Whereas, if the entire story is fake, or a dream, or whatever, then how I act now is the inevitable conclusion of my life, and there is no changing.

It's easier to just hand-wave away any lessons about human behavior and say that it's imaginary.