One day I was in the chemistry lab at university, and the fire alarms
went off. As we proceeded out of the laboratory to our assembly point, we
saw smoke pouring out of the building. When we finally got outside, we saw
someone minding a set of smoke bombs.
We've all been through fire drills, and usually we soon suspect that it is just a drill. But if we know it is a drill, then it will not be a true test of our ability to deal with the real situation. By placing smoke bombs outside, the organizers of our chemistry lab fire drill were able to induce a realistic condition of panic, fear etc. in the students taking part in the fire drill.
If dreams are some type of rehearsal, there might be a similar reason why it is important that the dreamer does not realise that it is just a rehearsal.