It seems Gaius intended to "send" Rhue to Dream Estrana, to discover his true self. Rhue was shocked when they reached the river at the end of E5, so he was "sent" to find the answers he seeks within himself... He succeeded, although we are still left with huge blackness of information.
Still, too many things are undiscovered and missing... It annoys so much... But after all, isn't it the thing keeping us waiting eagerly to every statement Lun makes? Lun imprisoned us with his evil mind tricks, and now we must wait, to discover one day the truth of The Way.
Like a wise man once said,
"Life is a b*tch-
and you die at the end."
Don't argue with an idiot because he will bring you down to his level and beat you on experience.