Throughout the episode, we see events in the cartoon unfold from the "live-action" characters' point of view. Everything that happens occurs within sight of Dean, Sam or Castiel. Except for the sequence in which Daphne and Velma discuss Sam and Dean. This implies that, far from being an elaborate dream sequence, or our heroes being simply placed within a TV episode, the characters actually exist outside of the cartoon.
There's one other character from Sam and Dean's world that is present in the cartoon-world, though: the ghost boy. Possibly he was indulging in a little boyish curiosity about girls, and allowed that part of the simulated "Scooby world" to play out for his edification, even if none of the three "live-action" characters were around to witness it. It's just like how he'd evidently been playing with those toys in the attic at some point, that Sam and Velma later found free of dust and covered with ectoplasm: the boy got up to things "off camera", that weren't part of his coerced mission to mess with the Winchester bros.
The gang's reaction to real zombies seems a lot more subdued compared to their reaction to learning the supernatural is real. Since it's implied the direct-to-VHS quadrilogy is in the same continuity as Scooby-Doo, Where Are You!, this actually makes a lot of sense: sometime after the events of this episode, Mystery Inc. probably realized that Sam and Dean's "explanation" was a lie meant to calm them down.
The fact that the ghost was a child can explain why Mystery Incorporated weren't the initial targets instead of the side-characters. Plot Armor aside.
Fridge Funny, but at one point, Daphne points out to Velma that she supposedly likes "lugs", referring to Sam. However, it's worth noting, given the speculation about Velma's orientation (and pretty much confirming some theories in Scooby-Doo! Mystery Incorporated) that "L.U.G." is also an acronym that means "Lesbian Until Graduation".
This is an hour-long television episode that has Scooby and the gang serving as guest stars to animated versions of live-action characters who are still played by their original actors. Essentially, it's almost the reversal of your standard episode of The New Scooby-Doo Movies!
Many discontinuities between the events in "ScoobyNatural" and the ones in the original "A Night Of Fright Is No Delight" (e.g. the gang starting out at the malt shop rather than on a boat) could easily be accounted for, if one assumes that the child-ghost whose presence drew the guys into a Scooby-Doo! episode had simply gotten mixed up about which episodes of the cartoon featured which events.
Just what did Daphne do to make her so worried about going to Hell?
It could be as simple as her suddenly coming to terms with the existence of Hell and wondering if she's been good enough, not lamenting some past misdeed.
That and the old "Fred and Daphne sneaking off to have pre-marital sex" gag thats been in the franchise since almost day one.
