Hello CousCous

All the things you describe are quite common and normal although I must admit you got quite a handful of experiences for one night.
I will try to break it down so that you can see what happened.

First of all I think you started the process of going into a WILD but then fell asleep. I would guess that since you had awaken briefly (kind of WBTB) you then remembered that you are dreaming
but the strange atmosphere of the dream and the lights going off (maybe you remembered that they should be off and the dream translated your expectation) scared you and then
you felt the sensation of something watching you (fear translated into an element of the dream).

In the city again fear took hold. Remember that in a dream the phrase "the only think to fear is fear itself" is particularly true. My interpretation is that the rest of
your experience of these very interesting nested dreams were triggered by fearful expectations.

I had a few experiences like that when I started lucid dreaming. Being in the dream but couldn't move. Something coming towards me. Feeling trapped in a dream for a long time.
I have since managed to control my fear in these kind of situations and everything has settled. For example a few weeks ago I was in a quite low level lucid dream and i saw a mantis insect.
I got scared so it became larger. But I remembered that I was dreaming and stayed there to explore my fear. The horse-sized mantis started walking towards me and I called it in a friendly tone to
come to me as if talking to a dog. As it came closer it reduced in size and turned into a little doggy to pet.

After you woke up I guess you experienced sleep paralysis. I find the sensation quite pleasurable as long I remind myself that the characteristics of sleep paralysis are hallucinations
(auditory are very common) and in many cases a sense of presence in the room. It could be any dream element though.

Finally, your morning experience. I have felt it myself. This momentary doubt of wether you are still dreaming. In my opinion this is something to explore in a more philosophical way.
Why can you doubt? What is the function of perception that can confuse us in this way? What are the similarities and what are the differences between waking life perceptions and dreams.

The more understanding you get in these subjects the more you will be able to rationally understand experiences like the ones you had.

Hope that helps