Found all 3 memories, Dream Master achievement still locked inside the game after waking up. Did I have to do something else?

Possibly. I don't remember how many memories there were, there might have been more than you got, but I know that Anna woke up on her own after it was complete. Just keep exploring. Good luck!

No, I got 3 and it unlocked for me, both in the game and in Steam (I bought it from the devs and used the Steam key).

Well, I'm already past that part now. Maybe I'll get it whenever I get around to a play through with Commentary mode.

Now that you mention it, I remember the vent. I didn't know there was an achievement there, I just kept going until she woke up on her own, and that did it. Thanks for reminding me and for helping others with it.

That's probably it - I chose to wake up. I clicked on the room icon and she didn't say anything about there being any memories left.