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nfzeta:
In chapter 1 he wakes up in his own room, the only difference being the hud. He also mentions that this "dream is a little too realistic". So he seems to be aware that there's a high chance that this is real.
The only reason that "this doesn't look like real life" is the hud and possibilities through it.
On page 18 he actually considers this might be reality. While he's pretty inconsistent (in the next page he considers that this could be a dream, a game, and reality), it's obvious that there is a possibility in his mind that this is reality. In the following pages he keeps considering whether this is reality or a game.
However at the end of the chapter, he's clearly warned that he will really die if he fails the game. So at the very least he does know that his actions affect reality in some way.
Additionally he learns that what he gains as money, he would actually have in "reality" too, further reinforcing the idea that his actions have an effect on reality.
So it's almost as if he simply refuses to believe that his actions may have an effect in real life, rather than him not being aware of this possibility.