How To Meet Death

Destruction tells Orpheus three ways to meet Death:

die - you will see her but you won't have much chance to talk;
be born - but we always forget that conversation with her (is it written anywhere else that she speaks to us then?);
visit her house - no good to the rest of us but Destruction can send him there.

This is the only time we see Death's dwelling which she prefers to decorate anachronistically. Then the story returns to the Classical myth as Death tells Orpheus where and how to enter the Greek underworld. Much later, Orpheus' fate affects his father, Morpheus, in ways created by Gaiman as a sequel to the myth.

Morpheus tells Shakespeare that, as the Prince of Stories, he himself cannot have a story but what then is The Sandman? Is it only that, within the story, he cannot have a story?