"Daydream nightmares"?

I quite frequently get what I can only describe as "daydream nightmares". So just bad daydreams, but I am fully awake and fully aware that I'm dreaming. I've read about sleep paralysis and it's not that because I remain fully functional.

Like for example, while I was at work last night I imagined my friend running into the shop that I work in, crying because a friend of ours had killed himself. Although I knew it wasn't real, that I was only imagining it, it made me panic, and I found myself looking at the door frequently, waiting for her to come running in bringing the bad news.

Other things I have daydreamed include my sister dying, my parents getting cancer, myself getting cancer, and an odd but terrifying recurring one of me having a miscarriage (I have not, or never have been pregnant).

They affect me for days afterwards, make me lose sleep, lose my appetite, become quiet and withdrawn, and filled with deep sadness for a few days. All I can think about is the nightmare, and what I would do if my imagined scenarios happened, and how I could stop them.

Seems like a huge overreaction to stupid scenarios played out by my over active imagination. But I can't help it.

Is this something everyone experiences? Something I just have to deal with? Something I can do something about? Something worth seeing a doctor about, or would they laugh me out of their office?