I get these too.

Strange dreams, that is, when eliminating parasites.

Rational answer: The toxins that the parasites produce to try keep the environment in your body from becoming detrimental to them induce these weird dreams.

Out there answer: The parasites have actually become a part of your body, so when they die, you actually feel it as a part of yourself dying. Its a stretch I know, but in some of my dreams this is how it felt.