I don't know if anyone is still reading, but now I'm rethinking the "was the sex the first time" bit after watching the vid again. Specifically because he has the dream, she doesn't seem to know how to react, and he tells her he always has them. If they had spent the night together before wouldn't she already know? Unless they had done it and they didn't sleep together afterward. Just a thought. But then I also can't imagine that they didn't get busy after their goth lake at night date.
Re. the nightmares, I've said this a few times before, but I thought she was pretty nonchalant about them in the bed scene. She immediately asks "bad dreams?" instead of asking what's wrong, and if you pick the middle dialogue option she says "despite the bad dreams, is it still a good morning?" like it's such a common and inevitable part of waking up with him that it's not worth lingering on. She does a little jump at the beginning of the scene, but to me it looks like she was trying not to startle him and then got a little startled herself by his sudden trashing.
On the first time versus not, though... Brienne has said that whether it was their first time or not was left deliberately vague (like many other aspects of their relationship) so everyone could see it as they prefer, so this is probably best left to each person's headcanon. There are reasons to think it wasn't, but some players prefer to think it was and their reasons are good too... I've even seen a compelling argument for an asexual relationship between Cullen and IQ, and the game is vague enough to acommodate even that headcanon, if that's what you wanna see, so. Every interpretation is valid, it's all in how each of us prefers to see things.