There are many important things about his daydreaming and self-talks.
First is the element of sadness and nostalgia that it provokes in the reader, making the protagonist be a sort of antihero, or tragic hero.
Second, he always reminisces and goes back to better times when his sons were younger, successful, popular, and when he was closer to them, had a big career, and even bigger plans.
Third, his reactions are foreshadowing of things to only get worse, which is evident with his suicide attempts, and him eventually taking his own life.
It is mostly how the worsening of his condition seems to be a train wreck in the making, and how it affects the overall essence of the story.