Of course, after the momentous Brief Lives arc, the narrative of the Sandman Saga needs a pause to regroup before pushing forward--and that pause comes in the form of self-contained, single-issue stories that connect to the main plot in only minor ways. The conceit of the stories in Worlds' End is that each issue is a story told by a traveler who finds themselves stuck at the Worlds' End Inn while they wait out a "reality storm." The tales told, as well as the tellers themselves, are remarkably varied; we get a man who falls into the dreams of a city, a tale of faerie trickery, etc. Morpheus makes brief appearances in the stories, but none of the stories are really about him.
And, at first blush, the stories don't seem to be about anything in particular. They don't connect, they don't cohere into a larger narrative moment. In a sense, they make the reader feel like they too are stuck in the Worlds' End Inn, waiting for something greater to happen.
But that feeling of suspended moments whiled away--in which stories told help us to kill time--might be the larger point in itself. What if, despite our best pretensions to the contrary, stories are only ever about passing time? What if all that muck about "expanding our point of view," "enlarging our ethical sympathies," and "coming to self-knowledge through the mirror of fiction" is all just empty justification for what we're up to when we give and receive stories? Maybe we're not making sense of the world at a fictional remove, maybe we're just watching the hour hand move round the dial at a glacial pace.
If that's what Gaiman wants us to realize, then Worlds' End is provokingly placed since it comes just before the big climax of his now epic-length series. A moment of self-doubt perhaps? (Why have I spent all this time working on this story if it has just been a distraction for the audience?) A dire warning to the reader? (This all means nothing, in the end. We're just passing the time, each and every one of us.) Toying with expectations? (I'm telling you this is a waste of time, but maybe the big stuff will start to happen and you'll have to reconsider the importance of storytelling for yourself...)
My money's on that last one.