Dreams are odd. There's every chance you can't dream of penetrative sex because you've never had it, and maybe you subconsciously don't want to yet? I honestly haven't a clue. Dreams are strange and any answers you get to that questions will be partly unreliable because they will just be guesses.

No. there's nothing wrong with you and I doubt it's anything to do with being a virgin. Everybody is different, so you're just fine. You just aren't one of the people who experience that.

One thing I will say is this: Don't place your faith in movies. They are fictional, made up, and most likely will not portray realistic results or scenarios.