Of course, Real Madrid will always be the favorite team in the Champions League because of its status as king in this competition. Dortmund must be careful and prevent making even the slightest mistake because Real Madrid always manages to take advantage of their opponents' mistakes. The enthusiasm shown by Dortmund players must be appreciated and should be watched out for as a threat to Real Madrid, they could make a surprise because all the negative predictions for them since the group stage were successfully broken with the maximum results they always achieved. Now Dortmund are just one step away from lifting the trophy, they have to show their class in front of Real Madrid who are ready to become the new champions in this competition.
Real Madrid always becomes the favorite team to win UCL final because they have good stats in the final UCL. It isn't because their status as the king of UCL, this status doesn't influence anything for the match. Sure, if Dortmund makes a mistake, it will be the advantage for Real Madrid. However, Real Madrid also can do a mistake, both teams have the same chance to do mistakes. Both teams must be careful because the final match is always full of a surprise, they must prepare well and be focused 100% on the match.
I'm sure Ancelotti will never underestimate Dortmund. Every team that can reach the final round must be a strong team, Dortmund has proven that they are stronger than other teams. No doubt Dortmund players can surprise Real Madrid if they are not ready to fight with Dortmund. But since Real Madrid already experienced many UCL finals, they understand how to deal with this condition. They know how to prepare themselves for the final match against Dortmund.
Unlike you, I think Real Madrid can easily beat Borussia Dortmund. Borussia Dortmund used all their chances in the 2 PSG matches, but I don't think they will be like that against Real. Real was playing great both offensively and defensively against every team. I believe we will see the same thing in the finale.
Even if Real Madrid has proven that they have great attack and defense, Dortmund shouldn't be easily defeated in the final match. We must be aware that Dortmund will play in the final match, they may play more defensively. Real Madrid won't be easy to get chances for scoring goals if Dortmund plays defensively. Moreover, Dortmund has great players if they use a counter-attack strategy.