I can't help but wonder how probable that "Finn's dream world" theory could be... There's some elements in that universe that sometimes he doesn't pick up on, that other characters can understand. Peppermint Butler for example, he's clearly been foreshadowing something terrible for the longest time, yet Finn doesn't notice. Same with Marceline's relationship with her father, and Ice King's origin. Some things can completely go over his head at times.