Issue with your question
This question is full of terms that don't have a proper definition in Biology. I don't think there is any clear definition in the verbs "feel" and "think". Also, I don't fully understand what the differences between feeling or thinking (whatever that means) when sleeping matter for the question of whether some animals "think" (and its variants) about future while sleeping. I am not sure either what "thinking about future" really means. One doesn't know the future, he can imagine it and in some cases it is kinda complicated to really know whether a set of thoughts are encompassed within the concept of "thinking about the future". I vote to close for primarily-opinion based. Finally, your question might eventually be a better fit on CognitiveScience.SE.
Theory of Mind
You might be interested in the Theory of Mind (ToM). Having the ToM (I know it is weird formulation, ToM is not a theory per se) means having the ability to 1) be aware (might have various definitions for "aware") of its own existence and 2) be aware that others also think and have intentions and 3) more importantly be aware that others might be aware that you think and have intentions.
It is pretty hard to investigate whether an animal has the ToM. Here is a list of species (and lineages) where ToM has been found (or thought to exist at some level). The list is probably not exhaustive and the difficulty to accurately define ToM and awareness make those pretty arbitrary.
- some parrots
Btw, your list of lineages is funny by the fact that you seem to weight equally two relatively closely related domestic species (cat and dogs) and two gigantic taxa that are fishes (fishes do not represent a monophyletic group) and birds