Why do these men develop these fantasy roles?

Fantasy is often easier to deal with than the reality we live in. The men made up stories and took on other roles in order to survive the reality they lived in.

All the men have fantasies that they envision to take the stress off during the war. Sometimes these "fantasies" can be distracting. Cross, for example, feels negligent because he was so obsessed with his fantasy of Martha and the life they might have together after the war.