My partner has night terrors on occasion and wakes up in a panic. I don’t scold her for waking me up because she’s scared over something that didn’t happen, I’m sympathetic to her feelings. Yes it’s not real, but it was just a very visceral experience for her just moments ago. I understand night terrors and cheating in a dream aren’t the same, but someone feeling intense heartbreak in a dream may still resonate for a while as they adjust back to the reality that it didn’t happen. For me it feels more compassionate to be understanding of their feelings rather than telling them to deal with it by themselves.

My two cents at least.