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This Dorothy is definitely not Judy Garland, or even the wide-eyed child of Baum's novels. This Dorothy is in way, way over her head, and she is painfully aware of the fact.
But the girl only backed away, looking left and right, for an escape. There was no way out except the window, and that was a deadly fall.... "I am all alone in a strange land, don't make me do this," said the girl. (5.17.2-4)
In this more realistic version of Oz, it makes sense that Dorothy would be terrified, rather than singing songs. It also makes sense that her companions wouldn't be saints, either – instead they are victims and outcasts, and judgmental jerks a well. But they all represent vital aspects of Elphaba's life: the Lion is tied to her Animal-rights campaign; the Tin Man is linked to her sister's sorcery power trip; and the Scarecrow is potentially her lost lover.
What's really fascinating about this version of Dorothy is her striking parallels to Elphaba (and to Nor, a fact that causes Elphaba a lot of pain). You'd think Dorothy and Elphaba would be polar opposites: good versus evil and whatnot. But these two women have a lot in common: they both have ties to Oz and the Other World, and both are "witnesses," as Elphaba explains:
"I see myself there: the girl witness, wide-eyed as Dorothy. Staring at a world too terrible to comprehend, believing ...that beneath this unbreakable contract of guilt and blame there is always an older contract that may bind and release in a more salutary way." (5.11.32)
These characters have strong connections, but there is a key set of differences between them. Dorothy is everything Elphaba isn't; she is Elphaba's antithesis. Dorothy can do everything without even trying and Elphaba can do nothing no matter how hard she tries.
The girl backed away, stumbling over furniture, knocking over the beehive, and stepping on the queen bee, who had emerged from the fragments.
"Everything I have, every little thing I have, dies when you come across it," said the Witch. (5.17.11-12)
Destruction follows in Dorothy's wake, and yet she is considered some sort of second coming of Ozma. Just as Elphaba has been turned into a mythic figure of evil, Dorothy becomes a mythic figure of sainthood. In the end, whether you're considered a devil or a saint, you aren't allowed to be a multifaceted individual.