Guild Wars 2

First off, a question comes to mind: what even is a Realm of the Mists? Far from clear but we can try to deduce something by the few informations we have.

These dimensions are generated by the Mists themselves, they appear to mimic reality and each could be tending towards a specific aspect of magic – their origin is lost in time. Powerful beings clash to rule over these Realms in an attempt to influence them, trying to impose their will to the dimension’s creations and to the souls gathering there. They can be connected to the physical world (or to each other) with portals which can be spontaneous or generated by someone.

So far we’ve interacted with three Realms (mostly in GW1):

1. The Underworld, or the Realm of the Dead, ruled by Grenth and guarded by his Seven Reapers. It’s under constant attacks by Dhuum, who’s determined to regain control over it.
2. The Fissure of Woe, or the Realm of War, ruled by Balthazar. Menzies is engaged in a battle with his half-brother, the God of War, in an attempt to usurp Balthazar, gain his powers and take control of the Fissure of Woe.
3. The Realm of Torment, or the Nightmare Realm. Comparable to Hell, it’s unclear who (or if anyone) originally ruled over it. At a point in time it was overthrown by Abaddon, who heavily influenced it; it was later redeemed by Kormir.

A shared feature of the Realms, or more in general a proper characteristic of the Mists themselves, is the formation of demonic creations in nightmarish forms, a quality exploited by Abaddon, Dhuum and Menzies. However, not all creatures from the Mists are demonic.

Let’s hence analyze the Dream of Dreams, or the Dream Realm:

• Sylvari’s genesis is surprisingly similar to that of Razah. To quote from Razah’s wiki page: “[…] When the Mists come into contact with a suitable human template, for example, it can copy that form, creating a sentient entity with humanoid appearance and an almost human mind. Razah is one such creation. It has sprung into being a fully-formed adult. It has the knowledge and capabilities of a human, but lacks common sense. As a result, it asks odd questions about human emotions, contemplates human motivations, and attempts to duplicate human mannerisms. Razah is a contradiction: more than human in some ways, and less than human in others. It needs an identity, a personality, and a purpose. Hopefully, it will find its purpose by working with a hero. Otherwise, it could degenerate into an abomination as monstrous and inhuman as its demonic brethren.”.
  In addition, once formed by the Mists sylvari are transported to Tyria, to the flesh world, via the Pale Tree.
• The Nightmare and the Dream act like entities ruling over the Dream Realm, they’re suggested to have been created by a collection of memories and minds; they oppose to each other in trying to influence their realm’s creations, sylvari being one but the White Stag is another example. In addition, it seems like Mordremoth, a physical external powerful being (and in such comparable to, for example, Grenth), attempted to take control over it (the Realm).
• The Pale Tree is its custodian (comparable to Grenth’s Reapers), a guardian affiliated with the Dream (here intended as the entity), and is able to open portals to the Dream Realm, granting access to external beings. Theoretically, the opposite could also happen: portals would be opened to transport creations of the Realm to the real world. The Shadow of the Dragon is itself a creation of the Dream Realm, used by the Dream to exhibit a Wyld Hunt; it was later subjugated by Mordremoth and subsequently transported (possibly with a portal) to the real world.

P.S. This would also provide an explanation for Malyck: he, like other sylvari, sprung from the Dream Realm and came to the real world via a Tree. Lacking the guidance of the Pale Tree, its connection to the Dream (the entity) is rendered harder.

P.P.S. Fitting names could be Mind Realm or Realm of Mentality.

This isn’t a counterargument to your entire story, but rather a possibility that completely flips the way of thinking:

Are the mists:
A) The vast multiverse containing our reality
or
B) A realm linked to our reality

e.g. are we the storage room with a box, or are we the contents of the box (in this the box being the mists)

The thing that would change is:
does the mist copy events that take place in the mists, or is our world simply the most stable realm within the mists

Quoting Jeff Grub: “The Mists are the building blocks of reality, the proto-reality that exists between the worlds. It is where we find afterlifes and the homes of the various gods and other powerful entities. The Mists also resonate from the worlds around them, such that they form bits of their own reality — islands of existence that reflect the histories of their worlds.”
The creations of the Mists (the Realms and whatnot) appear then to exist on a separate plane of existence than that of Tyria’s universe (that’s my view at least).

Also, demons spawning from the Mists are determined to enter the “flesh world” (Tyria), implying Tyria (and its universe) is actually physical (with the addition of magical elements of course).