Self-Empowerment
The imagination exercises help children create a sense of self because they are always a unique experience for whoever takes part. There is no right or wrong way of experiencing them, there is only the individual way in which they are experienced. The same applies to the action part of the exercise which allow for individual expression that is not going to be criticized or judged. This acceptance allows the child to accept themselves as an individual.
Over time also the child learns the connection between imagination and action. Ideas can become real but also real ideas are better thought out first if you want to succeed. This gives children a sense of self empowerment. A valuable tool when so many children feel overwhelmed.