1) Alistair: I interpreted the scene as him seeing his idealized fantasy. It was unfortunate that the graphic artists chose to use the same figure that they used for the actual Goldana. Literally, there is no way that either Alistair or the Sloth Demon would know what the real Goldana looked like.
2) Wynne: Back in the Apprentice Quarters she had left all of the surviving apprentices in her assistant's (Petra) care. That was _Wynne's_ decision to entrust them to the safekeeping of a pointedly weaker Mage. Now, unless Ferelden overall is an extremely underpopulated place, or else the artists are only showing us at most, one person in ten. I'd make the assumption that there were considerably more apprentices left behind that we never got to see. (Like the two chatting in quarters after Uldred has been defeated; we never saw those two before, so where did they come from?) So, the nightmare that Wynne was facing was that she would get back to the Apprentice Quarters only to discover that some demons had slipped by and killed all of the fledgling Mage's that _she_ was responsible for. She failed them, all of them, and now they're all dead because of _her_ failure! Wail, wail, Wring hands. She dives into despair head first. Who can think straight when their hands are awash in the blood of innocents?
So, she didn't actually see them "die"; just "dead" -- and jumped to an insanely erroneous conclusion! Can't she see that the surrounding decor doesn't match the Apprentice Quarters **at all**??
3) The flaw with the PC/Hero is that the Sloth Demon seized on the wrong setting for the dream. He/she hadn't known Duncan nearly long enough to slip into a comfortable environment with him. Just seeing him, of all people, would almost indubitably make the Hero practically scream, "But aren't you **dead**?" Auto Disbelieve.
4) Morrigan: As somebody mentioned before, her arrogant exterior really comes across as a compensation for a deep-rooted inferiority complex. Sneer at everyone and everything around her to convince **herself** that she is innately superior. And because she does, in truth, feel inferior, she's in almost exactly the same situation as Niall. That is, too timid to sally forth on her own where she very possibly would fail.