I think in general the religious right realizes the whole getting pissy that Lucifer is on TV and being portrayed not as this horrific creature is no longer a winning tactic, but I think one main reason Sandman "gets a pass" whereas Harry Potter was an issue was Harry Potter was marketed to kids and has spellcasting and academies for kids to learn magic whereas Sandman is too esoteric for most of the fundies to pay attention to.

Sandman was never marketed to kids so it steered clear of all the drama with the fundies in general. Fundies freak out if they think kids are learning demon raising or some such thing. I still remember when right wingers protested yoga being taught in school because it was based on "Eastern witchcraft and demon worshipping" or some such bullshit.