The show runner, Ira Parker, confirms that the conversation with Ser Arlan was a flashback, not a dream or imagined:
There’s a moment in the finale flashback when Dunk reveals that he wasn’t knighted by Ser Arlan. Why did you want to make that clear?
PARKER: It’s fascinating to me that that’s what you got out of that scene. At that moment, Dunk had never been knighted by Ser Arlan. He says, “Why did you never knight me?” And then, Ser Arlan dies, and we think it’s over. But then, he’s back and, as far as we know, the continuation of that scene is, “Boy, go get me my sword,” and then he knights him. There is no conformation, one way or the other, coming out of that scene. That’s exactly how Mr. R.R. Martin requested it. It remains [ambiguous] and people can decide for themselves.