In multiple combats where there is a Dreadnought (or several Dreadnoughts) on one or both sides the infantry units have to check Morale if they lose as normal. In the event that any of the infantry falls back the Dreadnoughts remain in combat. As normal, winning units (including Dreadnoughts) can only advance or consolidate if all of the units fighting them fall back.
Diagram: Dreadnoughts in Close Combat. A Dreadnought is surrounded by a large Ork mob. The Space Marines that were also fighting the Dreadnought have fallen back, but the Ork mob may not advance as it is still fighting the Dreadnought.