I have the same problem. Becoming actually aware enough to notice that things are weird LET ALONE speculate about them is what I'm struggling most with. It seems I'm strictly on autopilot, playing my role in the dream no matter what kind of crazy shit happens. I actually shot three people in the head a few days ago in a dream, and it went on for another 30 seconds or so before I woke up, disturbed at my subconscious, wondering what the fuck just happened, why I killed those people, and why I didn't immediately become lucid after the first shot.

Aghh...