I believe that the unconscious wants to send me a message, to tell me about something very bad that might happen and to stop fucking around. This is what the experience made me think of. Even if it is disturbing to have a nightmare in the middle of a lucid dream and to not be able to control things in it, somehow I feel more connected to my inner self.
I believe that is true for me as well. After experiencing many scenarios like you've stated I know my inner self/mind is trying to send me a message about something when I encounter vivid nightmares and FA loops. I enjoy the excitement of finding more about myself but at the same time like you stated, that lack of control freaks me out and i just want to find a place within my mind where i feel like its my sanctuary. I mostly tend to have this problem when I'm thinking about things I feel I shouldn't be thinking about and yet i still think of them. Its like i'm at war with myself. : P