It’s not always necessary to say in the dream, “This is a dream” It’s just a case of knowing that it is a dream, although saying it is a good way to reaffirm that you really are dreaming.
I’ve never heard of somebody feeling that a certain dream had caused them to lose the ability to dream before. I can’t see a way for this to have happened, other than believing that it is the case. Dreams seem to respond to our expectations, very strongly. I can only suggest trying some of the dream recall improving techniques in the BIG remembering dreams topic