To the best of my knowledge: dreaming is weird! No one's entirely sure why or how we dream at the moment, although there are quite a few theories.

One thing that we do know is that sensory information is still processed while we sleep: that's why loud noises like alarms (hopefully!) wake us up. The extent to which environmental stimuli are processed depend on the stage of sleep we're in. Dreaming occurs in REM sleep (aka Rapid Eye Movement sleep), & REM sleep is very, very deep, meaning that it generally takes a louder sound than normal to wake someone from it.

The extent to which sounds are processed depends not just on their volume, but also on their importance. So, for example, it's generally easier to wake someone by saying their name than by saying the word "refrigerator", even if both are said at the same volume. Ultimately, at any point in your sleep cycle you have a waking threshold: if a sound's combined volume and importance meet that threshold, you'll wake up. If not, you'll sleep through it.

So: when a real-world sound is incorporated into our dreams, what we're (probably!) seeing is a sound that is loud/important enough to be processed in our brains, but it's not loud/important enough to wake us. Nevertheless, we do "hear" it, and our brains will automatically look for a way to explain that: "oh, this dream-dude's talking to us? Cool. I guess he sounds like my alarm clock."

Another important factor to consider is that the frontal areas of our brain (controlling planning, reasoning, and rationality, among other important attributes) are less active as we sleep, so a guy coming up to us in a dream and beeping like an alarm won't necessarily register as weird.