The following analysis is a subjective thinking-out-loud session on why it may or may not be a good idea to link up a Sandman movie with the DC Cinematic universe. I'm going to try and give as few spoilers as possible.
It was recently announced that Joseph Gordon-Levitt would at least be producing a Sandman movie. In some of his tweets, JGL mentioned "#Prelude". This, as many would expect is in reference to the title of the first collected Sandman volume, Preludes and Nocturnes. The main plot for this first adventure is that Morpheus (or Dream) is captured by some unsavoury mystical cult types and all his powerful objects are stolen. Upon escaping many years later the story revolves around Dream's supernatural quest to reclaim his belongings. Along the way he meets Constantine, goes to Hell and battles a Psychopathic escaped Arkham inmate.
By implementing Dream into the DC shared universe, we would have the issue of trying to introduce a very real Lucifer into what is expected to be a family friendly movie universe. Dream goes to Hell in search of one of his lost relics and converses with Lucifer and his "Partners" to find the demon that has stolen it. Whilst this would be a good opportunity for an Etrigan cameo and some clever tie in's to Del Toro's Justice League Dark, it would be hard to envision Warner Brothers promoting something like this to the Man of Steel crowd. Especially considering what goes down in the finale (hint: it involves a lunatic and a diner full of people).
In regards to connectivity, by joining up to a shared Universe how much creative freedom would be given to the writers? Sandman, as many of you know, is an incredibly well told story and pretty much every element to it is purposefully placed to facilitate that story. This is not just within the primary story arc for a volume but in the overall collected works. There's a woman in the first volume that is affected by Dream's absence, her granddaughter is a major character in the second volume because of what happened in volume one. Surly for a connected universe, a particular budget is put down for which films can be made within that universe and within that larger franchise. That budget (especially for DC) has to be shared amongst many many characters. Finding a Sandman sequel for a book series with only passing references to the outside universe might be more difficult to market to movie-goers (and more difficult to find funding for) than say Green Lantern 2. To the main-stream, Sandman isn't all that famous. The effect this would have on changes to details in the story could be anyone's guess. Entire plot elements could be removed for the sake of wait-and-see-how-well-it-does business decisions.
Extended from this, within the film industry it's rare to see more than three movies in a standalone series. In normal circumstances, production hits the magic three movie cap and suddenly it can be marketed for premium as a trilogy. Cue director's cuts, "Extended Harder Cuts" and all manner of other ways to milk the cash cow that is a cinematic franchise. By creating a rendition of only a single Volume of Sandman in a single movie how can it be possible to tell the whole story of Morpheus? With a maximum of three Sandman films, which stories would be cut? Would the immortal woman who's only wish is to die be removed just because it doesn't have as much Sandman in it? The Sandman story would be chopped up and all the little fleshy bits that make the story what it is would be gone. It is almost unthinkable to find ourselves eleven movies in and waiting for a final instalment.
In conclusion, a shared universe would allow momentary continuity between Sandman and an overarching DC Universe. However, due to issues with marketability toward the Batman/Superman movie goers, the sheer detail of the source material and the minute likelihood of continued Sandman movies, its probably a good idea to separate them, at least for now.