This is like Deciphering Dark Souls, Bloodborne's Lores but this time the Creator is actually giving us clues, to some of us these Chapters of Nightmare within a Nightmare are like Delicious Treats/foods.
Appreciate this more why don't ya?
So, all these memories are to discover what happened to the chained lords and their daggers that can kill them. So far at least 3 of them are still alive.