No, you should not worry.
DH had not only his entire kindergarten class-- but also the TEACHER-- convinced that he had a completely wacky family dog. To the point that the teacher asked his mother about the beast during a conference, much to her bewilderment.
No mention of his toddler-aged
brother, mind. But the family-dog-that-wasn't got a LOT of air-time, apparently. LOL.
I played free-form fantasy role-playing games with friends well into my tween years, complete with "imaginary" playmates. That is eventually what this sort of thing can morph into, and it's not necessarily an unhealthy outlet for 'trying out' different personal attributes or lifestyle choices to see what fits.
Enjoy your creative and imaginative child.