why did Saki had that dream? Did someone "send" it to her?
It is suspected that it was sent to her by Shun.
Near the end of the series, the faceless boy begins to manifest again to aid Saki, such as trying to tell her that Messiah isn't a Fiend. The reason why he appears faceless is because Shun's existance was wiped from her memories, which are restored as Saki recalls their last conversation.
Saki begins to have dreams of a faceless child who tells her not to find Mamoru and Maria as they must die.
While in midair, she has a flashback of her parting with Shun, but still cannot remember his name or face.
On the way, Shun appears to Saki and suggests there is no fiend. ... As [Saki] runs past the dilapidated scene of Tokyo, she is finally able to recall her last conversation with Shun as her lost memories are restored and she sees an image of Shun before her.
Source: Wikipedia - From the New World (novel), Synopsis > Plot > Part II | Media > Anime > Episodes (Episodes 20 & 23)
While Shun had previously killed himself when he became a Karmic Demon, his Cantus was already incredibly powerful before his designation as a Karmic Demon, and it was thought that he could surpass Shisei Kaburagi (Kamisu 66's most power Cantus user). As the limits to Cantus are not truly known (two canti coming in contact with each other can distort space but this is previously forbidden by the Code of Ethics to control Cantus), it is possible that Shun's power allowed a part of him to live on following his death in a non-corporeal form and remerge in Saki's nightmare and during the Queer Rat Rebellion.
I don't believe it's ever explained why Shun would know Mamoru and Maria would die, or why he didn't want them to be saved. One possibility is the dark thoughts that led him to lose control of his powers and have him labeled as a Karmic Demon just manifested as wanting to let 2 of his friends die or as a form of jealousy as Saki was in love with Maria.
Another possibility is that Shun's power may have allowed him to become precognizant and could see the future and Mamoru's and Maria's deaths as necessary for it (eg. if they lived Messiah may not have been raised as they were), and knowing Saki's love for Maria, sent that dream to Saki to dissuade her from trying to find them.