Not exactly - there are
different levels of reality, and the Lego story happens within the reality of the Lego that is being played with by a child and his father in a 'higher' reality.
So the Lego story is 'real' as far as the Lego characters are concerned, and just as 'real' as the real-world sections for the viewer (well for me, anyway). And then of course you get the fun interaction of certain Lego characters with the 'higher' level of reality.
I'm sure Grant Morrison loved it.
Anyway, without those bits I think some of my favourite aspects of the movie wouldn't be possible, particularly when it comes to the messages about play, rule-following and imagination.