I'd say that we dream primarily the same way that we have consciousness of the world for the same reason. Basically, that our brains evolve to simulate reality and to control what's happening around us.

Lucid dreaming lets you make use of the dream state that comes to you every night to have a stimulating reality.

Although the events we appear to perceive in dreams are illusory, our feelings in response to dream content are real. Indeed, most of the events we experience in dreams are real; when we experience feelings, say, anxiety or ecstasy, in dreams, we really do feel anxious or ecstatic at the time.

Dreams look real, but they're in your mind, so you realize that the physical world is also a construction, which shows that the mind can affect reality in more ways than you can imagine.

The consciousness of lucid dreaming is a cultural evolution. It's something that we are talking about and learning about, not biological evolution.

There's no way to remove the observer - us - from our perceptions of the world.