What happened next? You will have to turn to The Sandman graphic novels to discover that. I could waffle on all day here and still never do it justice.
Neil Gaiman told his epic tale of Dream's capture and resultant destiny across 75 issues of his comic book series. Those chapters were collected together into ten graphic novels.
Another is playing out at the time of writing - a 25th anniversary story called Overture.
Though Dream is undoubtedly the main protagonist of these stories, he's not alone. Rich, vibrant characters weave their own Fates around him. His hand only lightly discerned at times, practically a cameo appearance that changes everything. Or, at least, provides insight into the bigger picture.
These are intelligent tales, drawing upon a wealth of real world mythology and legend, as well as historical events. But true genius lies in the fact that Neil Gaiman can make us view entities, as divine or ethereal as the Endless, as thinking, feeling, emoting creatures just like us.
When Death throws a loaf of bread at Dream's head, basically telling him to stop being so emo about things, siblings everywhere find empathy. When the Muse of Epic Poetry berates Morpheus for his deficiencies in romantic relationships, there's nothing too different than in a billion worldly love affairs gone wrong.
The Sandman is an infinite being who controls the fabric of reality itself. Yet he seems so very human. It's only natural. We all see the aspect best suited for us to understand the visions on offer. We all make Morpheus in our own image.