SPOILER WARNING

Okay, so in one of the endings you walk into your parents room and there is a really freaky demon in there.  Was that just supposed to scare us or is that an important character, because i'm pretty sure she's in your second dream.

You ruined it. Now I know and Everyone will see spoilers.

While I really liked the intensity of the experience I had with this game I am very very confused by it as well.
One link I found is, that the doll in the kitchen, that also showed up on the last day looked like that demon.

My guess is it's the character mentioned by the Handsome Demon Guy who is possibly causing things to happen. But that's just a guess, given their...appearance.