From what I bore to watch, it's a quite faithful adaptation - even if somewhat simplified.
As someone who only read a bunch of those 80s/90s "transgressive" comic books in the late 2000s-early 2010s, thanks to the wonders of the Web (and never saw any sign of anyone else having heard of these particular works in my godforsaken corner of the world, though Gaiman is somewhat known for his collabs with Pratchett), I could draw comparison with "Preacher" and "The Boys" (based on the eponymous works by Garth Ennis), which seem to be doing the whole "comic book to TV show because we bought off all the counterculture and are consequently running out of interesting intellectual property" thing a bit better. Taking more liberties with the source material, too; adding stuff that wasn't in the book but bears the original spirit.
Interestingly enough, those are also more grittier and less "politically correct" tales - even though their protagonists also tend to espouse enlightened views of radical acceptance, and the underlying message seems to be that the real antagonist is not just some entrenched establishment of crooked power mongers, but the mass of NPCs who enable them. Guess violence is timeless and magical realism is only relevant in the context of specific historical moments of cultural transition - who would've known?
Of course, there's comparatively less of that particular conflict overtly represented in the Sandman - it's one of those metaphysical things where most of the action happens in the characters' inner worlds. (Maybe that's why they thought it was such a timeless tale that recasting some of the characters as non-Gothic would be sufficient modernization?) Still, I consider Gaiman's work part of the same campaign of guerilla cultural warfare that was conducted around the turn of the century by teaching the kids lateral thinking, imagination, and of course emotional literacy and compassion. And of course the kids took that and went to become salaried creatives building nostalgic simulacra to mask the terminal disenchantment of the world (no enchantment -> no hope -> workers don't breed). So, yeah, guess we lost that one.
Finally got around to reading William Gibson's "Blue Ant" trilogy, and boy oh boy does the man have a good handle on how the media machine acts to transform artworks and the human experiences that art glorifies into a uniform bland "concept soup". Guess they'll start shooting shows from his desiccated corpus next. (Heard it here first, folks!)
All in all a Constantine/Watchmen tier adaptation. Don't waste time watching it, just torrent the original comic books and enjoy.