I've experienced the same, both with the headaches and the vivid dreaming. Both passed after a few weeks to a month. But, I'm on 150mg/day - not sure, but 400mg/day seems a bit ... much.
I'm not a doc, though; that's just my opinion.
this problem is for your depression mood not for drug. be patient it will be better as your depression get better
I experienced the headaches you're speaking of mostly within the first two weeks of being on the medication (I was on 150mg) and I would say that yes, I did experience vivid dreams as well as two outright hallucinations--though both were upon waking up. If it has been a month and you are still experiencing frequent headaches and disturbing vivid dreams, I would speak to your doctor about these issues and see if there is a compromise to be had on the dosing. 400mg a day is a lot to me, but I'm not a medical professional so I don't know. I hope your issue gets worked out soon.