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It is completely normal (based on my own experience) for visitation dreams to happen. Usually it's for a reason, even if that reason is just to let you know they're okay and give you hope. I've been visited by a few relatives in my dreams. I can't say that everyone has them, nobody in my family has as of yet admitted to having one.
Why they choose the dream world, well, there are theories. One is that it's the easiest way to get in touch with the person they're trying to contact, rather than doing things trying to get their attention while they're awake, which might not work or could scare the person.
Also, in the dream world is the absence of ego. That thing that tells you "this isn't real", or "I wouldn't do/think/believe that".
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