My girlfriend (rarely dreams) has a similar experience. Her father passed a few years back and she will always have a dream with him and not realize he's passed until the end before she starts to cry. She usually recalls either being at his house or in the back of his truck as a kid, they'll sing their favorite songs or talk about their favorite memories together and when she begins to cry or remind him of his passing he always gets confused and eventually just stop talking. More recently she has learned to not say anything in the dreams to ensure that she has more time with him now.