Let's first dispel this myth:
all the things that could happen in a dream are made up by us, and
should be utterly predictable
"The introspection illusion is a cognitive bias in which people wrongly think they have direct insight into the origins of their mental states ..."
That is to say, we have little or no insight into our own brain's functioning, and therefore cannot accurately predict anything that it does (dreaming or otherwise). This is a common notion in psychology research - see for example self-perception theory: "... people induce attitudes without accessing internal cognition and mood states." I personally like the way Robert Zajonc puts it: "decisions are made with little to no cognitive process ... we make judgements first, and then seek to justify those judgements by rationalization."
So the more interesting question is not why are we surprised by our dreams, so much as why are we not surprised by our non-dreams. But I digress.
Dream imagery is often generated partly from long-term memory rather than external stimuli. Unlike normal perception which is continuous and generally sensical, dream imagery is disjointed and not sensical. Interestingly however, subjects of dream research report only realizing the bizarre nature of their dreams after they wake - they are not "surprised" by the imagery during the dream.