Eeyup. The Changelings are serious bad news, especially if you know that they're led by a megalomaniac like Queen Chrysalis who simply can't be deterred by any plausible threat, and have no idea how many of them there are or what they can do. And Applejack has fought them personally, and knows she's probably on their short-list of enemies. Her fear's not at all unreasonable, and I can see her having dreams like that, even if she wouldn't dare show them to very many ponies -- Big Mac being one of those she'd trust that much.
I also noticed that Granny and Apple Bloom are similarly cocooned. So this gets into her WORST nightmare -- her enemies striking at her FAMILY to get back at her. In general, given what happened to her parents, losing family has to figure heavily in Applejack's most terrifying dreams.