The person that turns to cockroaches was Sylars figure. However, it can be that Kane either is the one that controls the insects not only outside but also inside her nightmare.
When she screams at the end the cockroaches not only attacking her, they even start going into her mouth (yak!) which could lead to her death in her dream and her having maybe a heart attack or similar and die for real.

However, I'm positive that Molly might have located Kane a long time ago already but ignored the event since she is able to locate random people with abilities the whole time.
As long as nobody is asking her for a particular person, I don't think she will go to Matt and Mohinder or someone else and start saying "Oh! You know what?, I saw this man,girl,boy,woman" the whole time.
I mean she never told to anyone about Maury until she were asked also right?

Her nightmare is obvious, she loves Matt and Mohinder and don't wanna lose them.
She hates sylar for killing her parents but she is not afraid of him in her dream because she thinks he is dead.
Anyway, in case she knows Kane from locating him, he was definately not in the picture. Otherwise she would had recognized him there as well.