It's a "blink and you'll miss it" sort of thing; very out of the way. The "fire room" is right by Milla's second memory vault, if you've ever found that.
Spoiler It's in an out of the way nursery room. Try opening the toy chest that's in there.
By the way, random fun fact about the Milla's Dance Party level--if you unpack the game's audio, there's a lot of lines that somehow made it into the game data but aren't actually used. There's a ton of cut content from Milla's mind that implies a lot of last minute design changes.
Spoiler One of them is that Milla's nightmares were originally roaming free rather than contained, and would kidnap dancer NPCs and some of the other students. One of the goals of the level would then be to rescue the students and help Milla confront her nightmares.
It's an interesting idea, but I can see why they cut it.
As for dark subplots in other games...well, there's some of the tech and secret projects in Sid Meier's Alpha Centauri. The secret projects especially. All of them are designed to have some sort of benefit for your faction, but...then you complete the project and get the cutscene for it and realize maybe it wasn't such a great idea after all. Like http://youtu.be/iwqN3Ur-wP0. Or http://youtu.be/wh-ZcdO5fe8. And we just won't talk about the Dream Twister. (Seriously, we won't. The video for it is nightmare fuel unleaded.)
Funny how Sister Miriam provides the quote for almost all those types of tech. Most SMAC players see her mostly as petulant and war-mongering, which is typically how her AI behaves in the game. In the storyline the tech quotes create, though, she turns out to be the sensible one in the bunch--arguing that in the rush to discover the next, greatest invention the other faction leaders have forgotten ethics altogether. And she's not wrong, considering quotes you get for discovering things like Mind-Machine Interfaces and Neural Grafting...:
"The Warrior's bland acronym, MMI, obscures the true horror of this monstrosity. Its inventors promise a new era of genius, but meanwhile unscrupulous power brokers use its forcible installation to violate the sanctity of unwilling human minds. They are creating their own private army of demons." - Commissioner Pravin Lal, "Report on Human Rights"
"I think, and my thoughts cross the barrier into the synapses of the machine, just as the good doctor intended. But what I cannot shake, and what hints at things to come, is that thoughts cross back. In my dreams, the sensibility of the machine invades the periphery of my consciousness: dark, rigid, cold, alien. Evolution is at work here, but just what is evolving remains to be seen." - Commissioner Pravin Lal, "Man and Machine"
Brrrr. The fridge horrors lurking in that game are some awful ones, once you start digging into them.