That the "real world" is already, to a degree, a controlled enviroment. They knew some people wouldn't except the program, so they had to create a kind've "daycare" for them...give THEM something to do, like think they're saving the world.

The machines/programs knew all along what was happening.

With that said, I think at the very end of "Revolutions", Neo will wake-up in his attic apartment on the upper-west side, and say, "Wow, what a WEIRD dream!" HA!!!!!!!!!