Dreadlock residue becomes noticeable at the tips of the dreads. The residue runs downward inside the dreadlock with the water that runs out when you're washing your hair. The residue coats hairs at the tip of the dreadlock with a sort of sticky coating that causes dust/lint to stick to it. If you look at your dreadlock and carefully pull a tip apart just a fraction so you can see inside it and see that there's some grey fluff - don't worry, it's just lint held in with a bit of residue! Sometimes it's more easily noticeable as with really whispy tips you can get lint sticking to the outside of the dread.
I'll shortly be following this video up with info on removing the residue and how to try and avoid it in the future.