We study fluctuating field models with spontaneously emerging dynamical phases. We consider two typical transition scenarios associated with parity-time symmetry breaking: oscillatory instabilities and critical exceptional points. An analytical investigation of the low-noise regime reveals a drastic increase of the mesoscopic entropy production toward the transitions. For an illustrative model of two nonreciprocally coupled Cahn-Hilliard fields, we find physical interpretations in terms of actively propelled interfaces and a coupling of eigenmodes of the linearized dynamics near the critical exceptional point.