Ryo acknowledges his dreams of Shenhua at least twice in the series, once during a conversation with Fangmei in Shenmue II and once during a backer-exclusive telephone call with Nozomi in Shenmue III.
Both times, it's uncertain just how clearly Ryo remembers what the person from his dreams looked like or even what gender the person was. However, in the conversation with Nozomi he does explicitly state that he doesn't remember the dream well enough to say for sure whether or not it was Shenhua.
This makes sense to me. As
@Rydeen pointed out, our memories of the dreams we've had are not always clear to us and the details usually become even foggier as time passes. Personally, I barely remember any of my dreams at all these days (and when I do, the memory begins to fade after a day or two).
I don't think that Ryo remembered what the person from his dreams looked like by the time he actually met Shenhua, but I think there's a good chance that he subconsciously recognized her.