Hey there. That is not correct, you only need the full set for the final mission, 'Beyond' - the text you are looking at is basically saying "You need the whole set to enter the pyramid, this is the first step towards obtaining it". You aren't going to the pyramid now, you're going to kill Omnigul. Omnigul's mission gives the next piece (eventually) and then the last three pieces are unlocked through Nightmare Hunts. If you look at the Destinations map, is there a mission marker at Anchor of Light called "Ghosts of Our Past", that is your next mission, no Dreambane pieces are needed at all. Edit: I can see you're aware of the above mission marker, what happens when you approach and try to interact with it?

Omnigul's quest (with one or two steps after killing her) will give piece #2, then it'll put some markers on the map to get the rest, it isn't related to the altars. Visit Anchor of Light and try to start the Omnigul mission. Nothing should stop you from playing it and continuing with the campaign.