All auras will be active when you enter the game. If you reequip any gear in game or resurrect your merc, you will lose auras. In those cases, only the aura from the last equipped piece of gear will be active. Rejoin the game to regain all auras.
The holy shock from dream is not a shared aura, so only the merc will benefit from it.
If you and the merc each have dream helms, then you will each have your own holy shock aura.