Thanks for the response @Thunder Bow
Your explanation is a possibility, but I suspect that these dream demons are external to me. There is no part of me that would want to hurt my cat. I have never watched scary movies. Where is this stuff coming from? When I do remember my dreams, it is like I am observing horrible things, but I feel nothing. In my dream, I might be watching acts of cannibalism and not realize that this is abnormal or disgusting. Did you ever read "The Clockwork Orange"? That is how I feel sometimes in these dreams. That is why I suspect these are external entities that are trying to cause me to be depressed with these dreams. The theme always seems to be an attack on my values.

But I know that your explanation is more acceptable to most people. It might even be true.