While I can't provide more insight to the question "Why" - previous answers provide enough information pointing it to some traumatic experience, i.e. lost love, as suggested in "The song of Orpheus"

, I'd like to point more to the "When": it had to happen much earlier than some answers suggest, when Morpheus was imprisoned by gods attempting to takeover the dream, he attempts to get help from Delight but she refuses because "she is changing"

With help of Desire Morpheus kills the gods and turns skull of one into his helm, that since becomes his sigil.

While I can't provide more insight to the question "Why" - previous answers provide enough information pointing it to some traumatic experience, i.e. lost love, as suggested in "The song of Orpheus":

I'd like to point more to the "When": it had to happen much earlier than some answers suggest, when Morpheus was imprisoned by gods attempting to takeover the dream, he attempts to get help from Delight but she refuses because "she is changing"

With help of Desire Morpheus kills the gods and turns skull of one into his helm, that since becomes his sigil.