There are few things I can tell you that are true of all works of literature, but I'm on solid ground with this one: if a story starts with three women--one young, one motherly, one bent with age--snipping a skein of thread short, well, the story in front of you is about fate and death.
At this point in its run, The Sandman is well and truly an epic--which dictates that the narrative must resolve itself according to the rules of the epic. Indeed, Sandman enshrines the idea of following the rules of story. Morpheus is made to face the ultimate price levied by the Furies because he has shed familial blood. Granting Orpheus an asked-for death may have been the kindest of boons, but it is an act that must be punished because that's the rules, that's how the game is played, that's what duty calls for.
The rules that guide the narrative conclusion of Gaiman's saga are drawn from the most classical of sources, the Greek tragedy: not only do we have the introduction of the Furies as a grand nemesis, we have Lyta Hall's transformation into a bereaved gorgon, Morpheus's enlarged and cosmic hubris, and a chorus of side characters who provide both counterpoint and collectively voiced commentary to the unspooling drama.
And so The Kindly Ones comes on like a beloved band on their farewell tour. All the greatest hits get played, and a few deep cuts sneak into the setlist to please the obsessive fans too. We revisit Rose Walker, Nuala & Cluracan, the Corinthian, Lucifer, Fiddler's Green, Matthew the Raven, Desire, Odin, Thessaly, Delirium, Lucien, Titania, Cain & Abel, Loki & Puck, etc, etc. &c. The audience can't leave without feeling sated. That's a rule too, and it must be followed.
But if The Kindly Ones is a Greek tragedy, whose tragedy is this? Who stands at the center watching everything fall apart around them?
Morpheus is the obvious choice, but his inevitable death is confronted with a stoic indifference--shot through though it may be with moments of pathos--that derails the utmost gravity of the events that have unfolded.
What of Lyta Hall, then? She plays both the villain and the tragically condemned; she pursues revenge against Morpheus because she believes he has stolen her son (he hasn't), invoking the incessant Furies against him. But at the realization that Morpheus isn't the guilty party she's been seeking, this new gorgon would call back the Furies, but she cannot. The Furies do not pursue Morpheus for the crime Lyta accuses him of; rather, they pursue him for different transgression--a transgression of which he is guilty and must answer for. Those are the rules, and Lyta realizes too late that she can't change them.
We etch commandments into stone for a reason--once set down, there is no revision possible. Only the slow erasure afforded by time allows for the rules to eventually be rewritten. When the slate is clear, we can start over afresh. Never before.
Lyta feels the injustice of that, and it turns into self-condemnation. Lyta has gross, glaring flaws, flaws that is often blind to, and it is the unseen flaws that ultimately consume her. Even the act of becoming a gorgon resonant with mythological structures of revenge partially erases who she is; reshaping yourself to fit an archetype means losing personal identity. Gaiman pairs her mythological ascension with earthly madness for a reason: whether high or low, both states are changes that deprive her of access to who she was and who she could have otherwise continued to be.
Worse yet, her single-minded quest to avenge her son sets in motion the events that will forever part him from her. After Morpheus's death, Daniel Hall assumes the mantle of the Sandman. This is a loss doubled, then; if Lyta loses part of herself in becoming an archetypal avenger of wrongs, that process ensures that Danial will lose part of himself as he is in turn transformed into the archetypal King of Dreams.
We've already learned Morpheus's lesson in the previous issues. Now we learn from Lyta's mistake, her tragic placement within circumstances she doesn't fully understand--and which we, as readers, are left to puzzle over because it is not clear who manipulated events to bring this ending to pass. And that's the song the chorus sings, in the end.