It really depends on the DC. Usually, if the DC is a person that I know in waking life, they'll just shrug it off as me being ridiculous ("What are you talking about? No, we're not dreaming!"). There are a few select DCs who seem more "self-aware" than others though (these tend to be "original" DCs; meaning, non IRL people)

I have this one DC who, when I asked, "Hey, you realize this is all a dream, right?" he responded with, "Of course. I know."

The next time I saw him in another dream (on another night) he also asked me, "Hey! Remember me? From the last dream??"

So yeah, it depends on the DC. And helpful DCs totally rule.