You're doting on superficial similarities between his movies that are a penchant of his directing style, rather than anything that has to do with the actual plot or themes of the film. They are means of further immersing you into the film.
In Perfect Blue it was used so that the viewer experienced the same confused state of mind that Mima finds herself in, unable to ascertain if what she's experiencing is real or just part of her personal psychological conflict. In Millenium Actress, it is used as a way to beautifully keep the flow of the movie going while the movie shows you how Chiyoko's life and work were intertwined. In Paprika, a major part of the film was about the collision of dreams with reality, which happened to fit this style perfectly.
The real meat of the films comes from the story that this technique is used to convey. The actual stories underlying the Kon style have all been radically different from each other. Your enjoyment is subjective on this front, of course, but I found them to be great entertainment. Kon's style is a means to an end and it works beautifully.