WARNING: spoilers below
First, I'll respond to the points and questions you raised. The dream ends when the cowboy says "Time to wake up", illustrated by Betty's and Rita's names changing. Everything in the film which occurs before that is a dream, so the fact that the two women don't go to the police can be thought of as dream logic, which explains why it seems illogical. As for the blue box, my reading is that it's a window from the dream world to the real world. For instance, right before the dream sequence ends (again, it ends with the cowboy's line), Rita goes to unlock it only for it to fall to the floor, with her disappearing from the room. Also, right before the ending, the hobo behind the dumpster can be seen opening the box, where Betty's parents from the dream come out of it (indicating her dream is spilling over into reality).
Essentially, the point of the film is that Diane (Betty in the dream world) dreams up the events from the first few acts to escape from the real life conflicts she faces. As is shown in the final act (again, real life), Diane is in love with Camilla, but Camilla doesn't feel the same towards her. They have a failed affair and it's heavily implied that Camilla slept with Adam to get the lead role, while Diane received a small part. In her dream world, however, many elements from the real world are projected onto it. For instance, a prominent change is that Betty and Rita do have a successful romance in the dream given by their sex scene. As for another change, though Betty (Diane) doesn't get the lead role in the dream despite her strong performance, the reason for this is shown to be because of a massive conspiracy where Adam was forced not to choose Betty (it's important to understand the significance of the actress getting the lead role in the dream being named Camilla Rhodes).
First, I'll respond to the points and questions you raised. The dream ends when the cowboy says "Time to wake up", illustrated by Betty's and Rita's names changing. Everything in the film which occurs before that is a dream, so the fact that the two women don't go to the police can be thought of as dream logic, which explains why it seems illogical. As for the blue box, my reading is that it's a window from the dream world to the real world. For instance, right before the dream sequence ends (again, it ends with the cowboy's line), Rita goes to unlock it only for it to fall to the floor, with her disappearing from the room. Also, right before the ending, the hobo behind the dumpster can be seen opening the box, where Betty's parents from the dream come out of it (indicating her dream is spilling over into reality).
Essentially, the point of the film is that Diane (Betty in the dream world) dreams up the events from the first few acts to escape from the real life conflicts she faces. As is shown in the final act (again, real life), Diane is in love with Camilla, but Camilla doesn't feel the same towards her. They have a failed affair and it's heavily implied that Camilla slept with Adam to get the lead role, while Diane received a small part. In her dream world, however, many elements from the real world are projected onto it. For instance, a prominent change is that Betty and Rita do have a successful romance in the dream given by their sex scene. As for another change, though Betty (Diane) doesn't get the lead role in the dream despite her strong performance, the reason for this is shown to be because of a massive conspiracy where Adam was forced not to choose Betty (it's important to understand the significance of the actress getting the lead role in the dream being named Camilla Rhodes).