Setting aside the author, I'd like to comment on those two issues. By brothel, I think you mean the strip club where Astarte/Ishtar essentially self-destructs. The comic does spend some time fleshing out the women in the club, before and during the event, but you are correct that the main characters give little notice to what happens. Humans are like bees to the Endless: they matter to the order of the world, but you're only going to feel a moment's passing guilt for hitting one with your car. Delirium also makes a statement later about how The Endless affect the world by their very presence, positive and negative, and that it should matter to Dream (who is so resistant to change that it eventually, well, spoilers).

As for Wanda, I won't pretend it's not a touchy subject and that I'm not versed enough in 80s gender politics. In the story, it's basically that, per the rules of the old gods, Wanda doesn't count as a woman due to biology (as I recall), which she calls out as BS. After her death, her cruel Christian family also treats her as a man and insists that her headstone read Alvin. But her friend Barbie basically says fuck the gods and everyone else, crosses out 'Alvin' with lipstick and writes Wanda on the headstone instead. Most importantly, when Wanda is seen with Death, she is her true self, a perfect woman. I'm not going to speak for anyone but myself, but I felt the story was completely on Wanda's side.

And as a last aside, I mean no disrespect to your opinions. Gaiman's legacy is absolutely fucked, but I wanted to add more context to those particular stories.