...Is that you have endowed them with life, personality, virtues (and vices). While they move through your imagination and by the reality you have given them shape the course of your stories, you can't sit down with them, talk about your own trials, troubles, hopes and heartaches, and receive a response.
That is the drawback to characters.
You love them, follow them, mold them, and guide them - and they cannot love you back.
To shift away from this profundity, let me remark that I have only twice had characters from my stories appear in my dreams.
The first time, I dreamed that the receptionist where I worked had called me to tell me that I had...visitors...in the lobby. I hurried out there to find:
an early renaissance mercenary
an ancient Egyptian archer
a Colonel of Cavalry in the Union army
a Norse type fantasy character
They had somehow heard that I was unhappy (not sure where that came from, since I loved the job). I had to convince them that I was fine. The Egyptian was still inclined to nock an arrow and patrol the office, his narrowed eyes moving back and forth.
The second dream was darker. I had to meet someone, and I had to park on a dangerous street. I was worried - until I saw the main character of my French story standing at a distance, watching... I felt safe.