I'm fascinated that you seem to have gained some level of conscious control in your dreams. A big part of what makes anxiety dreams anxious is finding oneself in an ordinarily avoidable situation, or one where there's a relatively feasible way out but we don't take it. The loss of agency makes it scary— and frustrating.

In the back-to-grad-school example I gave, dream-me was stuck in school, stuck in a program in which I saw no value and was miserable every day. Getting out wasn't anywhere in the frame of the dream. Real-me would not only leave such a program; real-me wouldn't even enter such a program without carefully considering its value and appeal.