It's a very good start for a demo. The sprite work is really nice and the worlds you explore are very unique. It takes it's own spin on the Yume Nikki formula. You still collect effects, however you also find Orbs around the world too which are your objective instead. These Orbs require you to have a certain effect to collect them.
My critique on the Orbs is that it's kind of frustrating to find an Orb and not have the correct effect. The hint of what effect you need is nice, but that's only useful if you have the effect. Some sort of hint of where the effect is when you interact with the Orb would be a very welcome addition as that would give you some direction of where to go next.
Speaking of direction, most of the worlds are scrolling parallaxes and things placed randomly around. More worlds with a direction of where to go is a lot less mind numbing. The Crimson Forest area for example is a fantastic world. With the paths, I can take a route where I'll at least find something. If I want to find the more important things though, I'll have to go off the path. I like that, it makes exploring feel a lot more fun.
Other than those two things, this was really good. I played through the entire demo and enjoyed it pretty much all the way through! Keep working on this!