Can you even define what a dream is and where your line is for what things definitely don't or do have dreams? There are conditions like Charcot-Wilbrand syndrome which cause people to be unable to dream. Are they no longer conscious?
I'm not really sure if Charcot-Wilbrand actually means lack of dreams since REM sleep still seems to be going on. I think we just have less evidence for the dreaming.
Of course there might be dreaming people that are unconscious but I don't think we believe unconscious people are actually devoid of consciousness in philosophical sense.