I'm the opposite (what else is new). I think those "stand alones" should be within the main series. If "A Dream of a Thousand Cats" or "Calliope" had been in the first series, my expectations for SANDMAN would have been more greatly satisfied--so long as the cinematography could live up to the beautiful artwork of Kelley Jones.
Finding out that they could have give me that and they didn't is exasperating.
It's those kinds of stories that made SANDMAN a great comic book. It's all part of the "anthology" aspect of the series. Having little stories that pop up in between story arcs or in the middle of story arcs, that don't seem to be connected to the ongoing plot, but really are connected--always gave the comic an extra boost.
If they just hoover all those stories out of THE SANDMAN and put them out in a companion anthology series, then I'm not very likely to see that series.
It's been the same with the comic books--setting up companion runs that relate to the Dreaming, but aren't fundamental to it, isn't what I want and don't pique my interest.