Welcome to the forum, man.

This is a great point you bring up but, as others have said, knowing you're dreaming would only "cheapen" the experience, if you have that sort of attitude toward knowing you're dreaming. As nonsensical as it may sound, it's true.
When you are totally emersed in a sensory experience, the fact that you could "probably make it go away if you wanted" doesn't really lessen the impact of what's going on, perceptively.
You can still experience pain. Intense situations can sometimes even strip you of your lucidity and spiral out of control, also, so that is always a risk to take.
Just because the 50foot tall dragon about to set your ass on fire is a dream, doesn't take away from the fact that he's a bad motherf'cker.

Read this, sometime:
Epic Lucid Dream

It's still one of my favorite dreams ever, if not my favorite.