I have done it excessively since childhood. my fantasies have changed over the years..from mythical and imaginary friends when young to celebrities in my teens to creating a Tulpa based on my mum when she died so I could keep her memory alive.
I did have a period of life when I was just too busy! ..uni/work etc and didn't get much alone time and I found I ended up with depression. When I restarted 'fantasising' on a regular basis again for hours per day the depression lifted.
I was diagnosed with Atypical Autism years ago (pre-internet) and I don't think much was known about about it in girls particularly higher functioning(ie no additional severe learning difficulties on top). Now more autism specialists know about PDA (Pathological Demand Avoidance) I think I would be diagnosed with PDA Autism due to my enjoyment of 'living in fantasy' and using it as an avoidance strategy.
There are studies showing a link between MD and dissociative disorders and other conditions such as Autism, ADHD. OCD etc
MD and DID study
Psychiatry Online
Autism and MD
INSAR 2020 Virtual Meeting