Recently I had a lucid dream where I was quite busy confronting fears and performing spiritual feats unheard of in my waking life, and I got to a point in the dream where some people in my immediate family arrived.
I was still excited about being lucid and explained to them that I was dreaming. They quite calmly explained back that I was certainly not dreaming and that they were real. In order to convince them I said, "If this is real, then how come I have 7 fingers on my hand?" and sure enough I had 7 fingers on my right hand as I waved it in front of them. They were real good sports about it, and accepted the fact I was dreaming.
The few times I've confronted dream characters about them being dream characters, they usually come to terms with it and acted quite calmly, I don't know if I could be calm if I was in their situation.