Complex sentence: It is said the "horrid scream" is the last scream of the man depicted in the song, just before he dies, and that his death sets him free from his "dream", which is actually the execution.
Split into simpler sentences: It is said the "horrid scream" is the last scream of the man depicted in the song, just before he dies. And that his death sets him free from his "dream", which is actually the execution.