...So this thing kills you once you understand it. It took us a while to figure that out, obviously; we didn't know why our research teams kept suffering casualties.
We don't know why it kills you. Maybe it doesn't exist and the idea itself is fatal to the human mind. We are hoping that it is conscious and just extremely observant, powerful, and paranoid, because at least then we have some hope of dealing with it.
After all, people do keep dying. Every death adds to our knowledge, leading to more deaths. So we find ways to cover up the deaths, attributing them to other causes.
We have a plan. The sleeping mind is not sane enough to comprehend anything coherently. So we work in our dreams and recruit the dreaming. It's safer not to tell most of them what is going on. Some serve as experimental subjects in the effects of various lines of thought. Others attempt to cause pain or injury to the hypothetical being, which may be more dangerous for all we know.
For obvious reasons, we wipe all their memories on awakening. They may remember a few details for a few seconds, but they'll be too groggy to hurt themselves.
My point: Next time you have a nightmare you can't remember, I wouldn't worry about it. Or think about it at all, in fact.