It connects the natural world with the supernatural.
Explanation:
One of the characteristics of romanticism was pessimism, which was considered an evil of the century. To express this pessimism, the authors wrote novels in a real environment, but with a mysterious and exotic tone, with a dark past that scared the characters. In this environment, the authors fit a fantastic narrative involving the natural with the supernatural and highlighting death as a theme. "The Legend of Sleepy Hollow" is an example of this, as it has all these characteristics.
I do not think that "building castles in the air" is a bad thing to do as it can help you set a benchmark for what you want to achieve. However "building castles in the air" can also be a bad thing to do as it could make you yearn for the things that you want and you may be more frustrated when it comes to not being able to achieve what you want, when you want it.