While the particular mix of khandas last they have a real but transient existence. That gives rise to the "I" sense. It has a reality, but not an unchanging reality. Its pain is painful, its joy is joyful, its lust is lustful its peace is peaceful.
But it is also subject to anicca and anatta. So it is real, but transient.
Just as the refraction from a pigeons neck is an actual phenomenon, although the display of colours are due to refraction rather intrinsic to the pigeons feathers.
But we cant deduce therefore that those colours have no reality. Their reality is of a different order.
Just so the khandas have reality, but not permanent unchanging reality.
This is one way in which the Theravada parts company from Nagarjuna.