I know next to nothing about dreams, but here's my very unprofessional take on it:
As Bob said, if you remember a dream, you've waked up during REM. While dreaming is a healthy thing, I personally don't think that remembering
dreams is a good thing. I think it's an indication that you were likely having an apnea or hypopnea strong enough to disturb your sleep. Obstructive events that are always more likely to happen during REM. The very events we want our machines to prevent.
To be able to commit the fact that you were dreaming to memory, whether you wake up with just a vague recollection of having had a dream, or some fuzzy details, or even a vivid colorful whole "story", I believe your REM sleep had to have been interrupted. Not good.
I think a lot of people who say, "I never dream" do, in fact dream - but just don't remember it. I also think that many people who say, "I dream a lot every night" are experiencing sleep disturbances that wake them enough to allow them to remember the dreams.
When people first get started on cpap treatment, it does seem that they report "dreaming more" or "dreaming more vividly" for the first days, weeks, or even months. My personal opinion is that cpap treatment itself can be so difficult to "sleep through" (masks, leaks, noises, hose tugging at us, pressure blowing, etc.) that the strangness of the treatment itself might be waking us more often in the early days of treatment - thus being more likely to have some of those wakeups happen during REM.
People who have been sleep deprived prior to cpap treatment do tend to experience "REM rebound" when they finally start getting good sleep again, but (and I think this is a big "but"....) I don't think it's a good sign if we are remembering
dreams - whether it's REM rebound dreams or during normal amounts of REM. Either way, I think remembering a dream means sleep was disturbed enough to wake you up.
I rarely remember a dream with the exception of sometimes either vaguely or clearly remembering a "last dream" upon awakening to get up in the morning. And that's only if I have set the alarm clock, or some other noise like phone or a dog barking awakens me. If I awake on my own in the morning, I never remember having dreamed. I think that's really the way it should be. Just my opinion.