The supernatural events and elements that are placed into this book represent more than just something meant to scare the characters. It represents the evil that is inside of Macbeth, and lady Macbeth. The supernatural is also there to confuse and prove the guilabilty of humans, and how easily they are decieved by what they do not know. Shakespeare uses witches and hallucinations in his work to show the easy confusion on man. But they are more then just workers of the devil. They workers of Macbeth's imagination, and the evils that he has inside him.
It is apparent throughout the book that they witches truly did exist, and witches are, after all, supernatural. But contrary to what most would believe off hand, they are not the supernatural beings that they appear to be. They make prophecies, but they are all things that Macbeth himself brought into being.
Just because he was told that the witches knew these things does not mean they really did. They very easily confused and started him into thinking that it was true, and so he acted on these impulses and brought his own fate into play all on his own. The witches also are just playing with Macbeth's mind. They do not really do anything very supernatural at all. They use his paradigmatic sense of confusion to make him believe that even while he is making these happen, that they are the ones who 'really' did it.
The dagger. The dagger was sent as a confusion. But it was not sent by anything supernatural. It was Macbeth's guilty conscience that know what he planned on doing, and so it was his own hallucination that made him take out his dagger. He saw what he planned to do and it prompted him...