This is a somewhat personal theory, not something I know science to confirm, but I imagine, we evolved to have dreams, because they help us play out situations that might come up similarly in the future.

So, maybe you won't ever actually be in underpants in school, but you might still get into an embarassing situation and then know how to laugh it off.

So, the learnings from those dreams, those have to be remember. But the 'simulated' situations in those dreams, they would be bad to remember, because they never actually happened. So, it's also advantageous for survival to not remember them, which is why we generally evolved to not do so.