I am a big daydreamer. Always have been. I do think it's a coping mechanism for whatever ails--for me it was useful during my parents' divorce. I notice that my kids all daydream as well. It doesn't concern me really. The only negative I see is lack of productivity if you daydream too much.

But, if he does it because he's bored at school, you probably should address the boredom issue, independent of whether daydreaming is good or not.