Hey Whois, thanks for checking out the game. No, the orange figure doesn't appear in any of the worlds' secret dreams. The snow globe level is sort of a dream-within-a-dream, and it gets harder for them to follow you there.
Oh alright, thanks for telling me. I really love this game and it just makes me so passionate about it. I even came up with some theories on this game. Maybe in the future there will also be some lore-thing to it