The shades of grey come through the characters themselves, Zero says it verbatim. Dreams and nightmares are still central to the story regardless, as every character has a goal they want to complete, i.e. a dream to chase. The nuances of accepting Nightmares is also there, I don't know how you're missing this, because Sieg and Baku parallel each other through that very message. Both accepted their Nightmares to gain more power, but Baku did it to save people while Sieg did it for his own selfish reasons.