Well little kids get nightmares and they usally outgrew em sometimes, maybe you had nightmares when you were a really little kid and then out grew em all together? But you said theres still scary stuff in your dreams but your just not afraid anyways, that happens to me too sometimes, is it that your never scared in your dreams or when you wake up? Maybe you just find these dreams exciteing, but your just thinking they should be scary to you or something...? Like how people are suppose to be afraid of spiders and bugs or stuff like that. But I definaillty don't think not having nightmares means you have a big ego, maybe you just play to many video games, hell in one of my dreams I paused it and saved the dream then went back to it.