I think you're reading too much into it. If the whole movie is dream, it doesn't make much sense. Where does the story start and end? Who's dreaming and why?
Plus, they go down to that place where people go to wake up from their dreams to get back to reality - and the owner of that place for no reason says to Leonardo "you should know".
Actually they go to that place to dream and escape reality, not the other way around. I'm guessing because of the problems in their lives. When the man says "you should know", he's referring to Caprio's situation with his wife and the fact that he does the same.
Also, Michael Caine, his father-in-law, emphasises to him to "get back to reality".
I think he's just implying that Caprio has to face the possibility that he may never see his children again.
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