People dream both in REM and NREM. Apparently there is some evidence that people have more positive dreams in NREM.
I think that during REM sleep, dreams have higher emotional content, with more characters, actions and scenes, are more elaborated and contains negative components as well as positive components. While during NREM sleep, sensory phenomena occurs and predeminate, there are not elaborated stories, so possibly those of MOR are subjectively perceived or reported as more negative experiences. Furthermore, I think we remember more the negative experiences than the positive ones. Possibly dreams with negative content can produce higher activations of structures such as the Amygdala, Hippocampus and parts of the cingulate cortex.
There is one study claiming that REM dreams have more positive interactions between dream characters compared to NREM. It is bold claim that should be replicated though.
McNamara et al. A “Jekyll and Hyde” Within Aggressive Versus Friendly Interactions in REM and Non-REM Dreams
http://pss.sagepub.com/content/16/2/130.short
I am unaware of any studies, however, since we cycle through REM and NREM states several times a night, this would have to be a lab study where subjects are awakened and queried during both dream states. TEM dreams tend to be the more fantastical surreal dreams, while NREM dreams contain cognition a more similar to waking life
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