More:

• Overestimating the agency of everyone and everything
• Role-playing instead of trying to achieve goals
• Expecting too clean a distinction between protagonists and antagonists
• Underestimating the number, and overestimating the cohesiveness, of protagonists
• Overly anticipating unlikely but dramatic events

(Most of these are more accurately described as "errors almost everyone makes all the time" than "dangers of thinking you're in a story", but thinking of them that way seems pretty useful for identifying them.)