Zack dreams about being a knight in shining armor, a hero: he dreams of conquering evil, rescuing the fair princess, bringing peace and hope, happiness to the world.
Reality is a lot different, but Zack is easy to adapt. His dreams change shape to meld with the world around him. He doesn't dream of conquering evil, because he works for it, and instead tries to make the evil a little less gruesome; he finds the fair princess, but can't really rescue her - she doesn't need it, doesn't want it, and so he buys flowers from her and makes her laugh. He doesn't bring peace, or hope, or happiness to the world, but to a few people; a general who can't ever seem to smile, a cadet who doesn't smile for reasons so different than the general's, but so essentially the same. He drags a body, lifeless and ungainly, halfway across the world, something they never mentioned in any stories or movies and that certainly doesn't match up with what a hero should be doing. But he does it, because he can't do anything else.
Zack plays the hero when he can, where he can, and none of it matches up with what his dreams once were.
(When he dies, in that split second after his last breath leaves his body and his body shuts down, when blue eyes widen with recognition, he thinks: this is the only thing I'd ever change.)
Sephiroth doesn't dream of heroes, or knights in shining armor, or princesses, or even the bad guys. There is no thought to save the world, no desire to make people happy.
He knows he's supposed to be a hero, set up as the shining example of the ShinRa Army, even if he is in truth nothing but a murderer; he knows that the fair princesses don't need help - the princesses he knows need to be squired off by someone evil, with promises of never returning them (and when he mentions that to Zack, as Scarlet walks out of his office, the man can't help but laugh and laugh and Sephiroth is puzzled: he didn't think it funny at all). He even knows the truth about the bad guys: they don't exist.
Sephiroth doesn't play the hero, doesn't care if reality matches up with dreams, and doesn't even realize who the bad guys really are, especially when he is playing one.
(They are not on the battlefield, not the ones to hide away the princesses, not even the big bad corporation that seeks to control the world. They are in the labs, deep and dark and hidden, scientists not to be trusted. But Sephiroth is too far gone to think about that.)
Cloud knows about heroes (the shining general in the Wutai war) and knights in shining armor (his SOLDIERS) and princesses (mayor's daughter) and bad guys (what feels like everyone in the world, sometimes) and he wants to be one.
Maybe then he wouldn't be ostracized, as outcast by his home and the world, and wouldn't need someone to rescue him, and maybe - maybe, he could impress that princess. But secretly, deep down in his heart, he knows he isn't cut out for that role. Cloud isn't meant for heroism anymore than a fish is made to walk. He knows the real heroes when he sees them: the general who never fails to be intimidating, or even the SOLDIER who befriends him.
Cloud wouldn't know what to do with the role of hero if it were handed to him; he doesn't know what to do, when it is thrust upon his shoulders and everyone is looking at him for help.
(He thinks it is Zack who guides him, influences him, because it comes out okay in the end; he leaves the buster sword on those cliffs overlooking Midgar with the words "You're the real hero, my friend," and refuses to listen to the wind that whispers, "Not true, not true.")