If I dream of having a migraine aura while sleeping but it doesn't wake me up and when I do wake up I don't have the aura, did I really experience it?
Hallucinations. What is real and what is not? Is an aura real or just an illusion? Does it matter whether you are awake or asleep? Does the aura of migraine always have associated headache? Answers are difficult and complex. Memory of an event is an experience whether it was "real" or not. Vivid dreams, vivid thoughts, vivid imagination are all on the same spectrum. Aura is a vague term of little utility.
EEG correlates. Migraine and epilepsy auras differ on eeg. I don't think anyone has captured a dream aura eeg, but my guess is it'd differ. Why? Brain activation in waking percepts are similar to but do differ from brain activation in dream percepts (same image). The subjective reality of a dream aura versus a waking one should be the same difference as a dream perception versus a waking perception.
Do not worry. Dreams are not necessarily correlated with ongoing reality, and if no headache in am, you are home free.