I do think it's common in those of us with AvPD. It can become troubling, but it isn't necessarily. The only way I'd worry about it would be is if it became so frequent that I was literally living through them (which does happen), meaning that I wasn't actively trying to recover (hesitate using that word for a personality disorder - but it's the only one I can think of) because I was content living vicariously through my daydreaming instead of trying to learn to cope with my AvPD symptoms. As long as one can separate the daydreams from reality, and is trying to reach a point in which they can cope with the AvPD, I don't think it's bad.
My daydreaming has occurred since childhood. I was spacey even then. I tend to space out, lost in my own daydreams. Sometimes, I kind of do live through them, but not to the point where I don't want to live outside of them, too (if that makes any sense). I have become a writer, though, so many people expect me to daydream. Thus, many (including my family) never really thought of it as a symptom. But rather, a personality trait. It does make me an amazing writer, if I do say so myself (that's the one place I have a lot of confidence). So, at the very least, I have drawn something very positive from it. I guess people are more accepting of it when you're a writer. Us writers do tend to have whole worlds in our heads. I, also, happen to spend much of my day in mine.