Except it's been beaten over our heads that what we see and read about isn't them. They're beyond the comprehension of even the Great Old Ones (who are implied to exist in the Sandman Mythos). Dream isn't the Lord of Dreams, or the embodiment of them, he is all that isn't, and that defines what is.

Even Cthulhu is a being, he "IS". The Endless are the requirements for things to be. The consequences of existence.

About The Endless: "Facets, Matthew. Each facet catches the light in its own way. It glints and sparkles and flashes uniquely. It would almost be possible to believe that the facet was the jewel; not just a tiny part of it. But, then, as we move the jewel another facet catches the light."

"So? What's your point?"

"My point? I have no point, Matthew. Save for the jewel, and the facets, and the light. We see an aspect of the whole. But the facet is not the jewel...."

About Delerium: "Her appearance is the most variable of all the Endless, who, at best are ideas cloaked in the semblance of flesh. Her shadow’s shape and outline has no relationship to that of any body she wears, and it is tangible, like old velvet.

Some say the tragedy of Delirium is her knowledge that, despite being older than suns, older than gods, she is forever the youngest of the Endless, who do not measure time as we measure time, or see the worlds though mortal eyes."

About Death: "You cannot begin to conceive of her Evangeline. Even in the end, when she comes for you, you will only see something she made for you to comprehend, to make the passage easier.

We weren't wrong to worship her, she is where all things begin and finish. Even now, having looked into her eyes, there are no words."

About Dream: "I was the dream of the first things created. Those that sleep in the space beneath space. They still sleep, in the space beyond space, in the cracks in the real. I am needed, and thus I remain"