@Gary C made an important point in
post #444, I think.
Additional dimensions are not the same as different universes.
Additional dimensions
might exist in our universe, in the way Gary C describes; they are (at present) theoretical. They do not describe some sort of tenuous/ out of phase realm on the macroscopic scale from which visitors (or even, e.g., individual atoms) might emerge.
Different universes are entirely hypothetical. If they exist, none observably intersect our universe. It's hard to understand why anyone would think visitors from a different universe are somehow more likely than mere interstellar visitors, or why this explains anything about UFO reports.
Maybe the logic is that different universes might have different physical laws, therefore something from a different universe (if it could somehow reach ours, and remain intact) will be able to defy laws of physics
here. I'm not sure this makes any sense even in theory.
Terms like "different dimension", "parallel universe" etc. etc. are common in science fiction (and to some degree horror fiction), they are a literary/ plot convention used to "explain" the arrival/ presence of unlikely creatures, artefacts or forces.
The relevant authors/ scriptwriters don't need to have any special knowledge of physics to invoke this trope.
Something can (at least for the purposes of storytelling) make narrative and grammatical sense without being in any way possible in the real world.