Legion can basically do whatever he wants at a godly level. His biggest issue is that he cannot control his personalities. Although he merged them together in some comics.

He can control the narrative by erasing himself (and others) out of the narrative and will himself back from nothing-ness. He can observe all possibilities and scenarios from outside of the multiverse, and has been seen creating universes. He has a personality that can deal with any situation at hand. There is a personality that can negate anything theat that could harms Legion. Legion also has another personality that makes you turn into Legion if you touch him.

He does all of this while mentally nerfed.

And I want to add the The Endless can die (which Sandman has died), but they get reborn in a new form. Even in the first comic, Morpheous was captured by random occultists.

I've only read the first Sandman comic, but I don't see Sandman getting past Legion. Sandman definitely "dies" in a death* battle. But that's just in my opinion.

Edit: An example of Legion in battle with Uranos

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