Maybe its more like he goes to the worlds, and then dreams about them afterwards when Riku then goes through them? Also yes, if Ansem literally says "a dream within/of a dream" in the English version I will laugh so much
Well, in the translation of the Japanese one he already says "nightmare within a nightmare" so the reference is practically already there.
It's also logical with all the stuff Sora saw in TWTNW since Xion, Naminé and Roxas can only communicate through dreams now, their consciousnesses are asleep inside Sora's heart (and Kairi's in Naminé's case) so the only way Sora could interact with them was from within a dream.
Even the bit with Terra and Aqua is explainable by this. Terra's heart is most likely asleep as well and Aqua is probably reaching out from the RoD since she heard from Ansem about Sora and they're also connected to Sora and apparently instinctively know about Sora harboring and protecting Ventus within him.
When Terra and Aqua reach out shortly and call for him, Ven's heart inside Sora actually shortly reacts to this and Sora shortly takes on Ven's form.
That Ven then doesn't take Terra's and Aqua's hands can have two reasons:
Either Ven realizes it's just a dream and therefore hesitates or Sora is re-establishing control and in confusion pulls the hands back.