I believe Anon believed this, just not that the dream happened.

You get a sleep paralysis demon whisper something in your ear that you perceived as a loved ones name, then later when something happens to a loved one, your brain fills in the blank with the loved one that died. If nothing happened to anyone, they would have forgotten it.

Same as we remember the demon appearing in our room, but it's not your room or your house, there aren't the same decorations on the walls, mess, your room is bigger or smaller than it really is, your bedding isn't the same, but you wake up and know that it happened where you sleep, so your brain fills in the blank to be "it happened here".

Like unless the Anon reached out to their brother because of the dream and checked up on them, then it's pretty inconceivable that the dream was about them. Their brother killed themselves, then Anons brain clicked the pieces in to place and they believe the dream warned them, when in reality it didn't, or they probably would have done something.