I watched it but had no idea it was a Sandman spinoff. As in their show of Neil Gaiman's Sandman? I never would have connected the two.
The show was fine. Good concept but not fully developed. It felt rushed to tie ends together and I wondered while watching if they already knew they weren't getting another season.
Uh, British and magical? Lol. I assume the linkage is actually somewhere in the Sandman comics (which I haven't read through). I can't think of any direct link between the two Netflix shows.
Death of the Endless is in both, played by same actress.
Despair also shows up in Dead Boy, but I can't remember if she showed up in season 1 Sandman.
But generally I think they were only meant to be tangentially linked, so you didn't have to watch one to enjoy the other.