Usually they don't even though I have dreams with fictional characters all the time.
The first time I had a dream with one of my characters, it was unbelievable for me because it just never happened.
It must have been in 2008-ish. And it featured...
Miss Oh (who appears in my comic Crow's Worth)
and Tony Fisher (a character which I drew a lot in high school...I don't draw him much now so this is the best picture I have)
I guess in my story, I jumped off a cliff (as one does) but thing is, you can't actually die in a dream, instead your dream will go haywire and try to fill in the illogical gaps. So at the bottom, I didn't land to my death, instead I landed in a dining room and was sitting at a table with a bunch of other people who were just casually eating. And at that point I realized that I was Tony Fisher and Miss Oh was there. And I think my high school crush was there too, I can't remember.
However my favorite dream was with my favorite character
Mr. Blueberry.
So I was sitting on the curb in a suburban neighborhood (which looked like those in Arizona). It was overcast and beside me sat a 6 year old version of myself. Mr. Blueberry came up to me and sat down beside us. He asked if we were hungry and said he saw a foodtruck that sold pasta. So be bought the food and ate it together on the curb, mostly in silence. I had this dream when I was feeling really depressed but somehow it made me really happy and hopeful.