Somebody is moving the dog

The dog, doesn't disappear on its own. Somebody is transferring the dog between worlds which is an implication that the 'real' world in the movie was not real at all. Or at least thats what the director wants you to think. So if that tinted world isn't real, class real isn't real, what do we do? Do we continuously seek reality, which we think is possible to find, but actually is not? Or do we stick with the illusion that comforts us most.

Hey, Soldier. Do you know who's in command here?