I was thinking a bit more about this, and it strikes me that Coyote was talking about myths, not dreams. And myths, going all the way back to chapter 2, are stories about things people don't understand. There is no god of human achievements* running around because those are things humans more or less by definition understand. The myths range from capricious to outright malevolent because the good stuff in the world comes from hard work, not mysterious outside forces.
*Well, Kat might qualify, but that's because she's a robot-myth, not a people-myth.
Or for that matter, maybe Santa Claus does exist somewhere, and Jones just thought it was more important to warn Annie about the things that might hurt her.