Because of his pride

Please note, how proudful is Morpheus - he is the King of Dreaming, mortals spend one-third of their life in his realm, where he reigns, and now they dare to imprison him? He, who is almost as old as the universe will not lower himself to acknowledge the petty demands of this wannabe wizard. Once, when a woman displeased him, she sent her to Hell for eternity! Please also note how he behaves towards Lucienne when he finally returns to Dreaming - he is immediately aloof, expecting everyone to do as he says.

For the same reason he didn't ask for help from any of his siblings - he was too proud to admit to any of them, that he was in trouble - it would be a sign of weakness.

The whole "Sandman" (both the graphic novel and the Netflix adaptation) shows the slow change in the way that Dream perceives humans (or actually all other beings) - not as just meaningless visitors in his realm, but as complex creatures worth his compassion - notice how his attitude towards the immortal Hob Gadling was changing over the years.

Because of his pride

Please note, how proudful is Morpheus - he is the King of Dreaming, mortals spend one-third of their life in his realm, where he reigns, and now they dare to imprison him? He, who is almost as old as the universe will not lower himself to acknowledge the petty demands of this wannabe wizard. Once, when a woman displeased him, she sent her to Hell for eternity! Please also note how he behaves towards Lucienne when he finally returns to Dreaming - he is immediately aloof, expecting everyone to do as he says.

For the same reason he didn't ask for help from any of his siblings - he was too proud to admit to any of them, that he was in trouble - it would be a sign of weakness. ¹

The whole "Sandman" (both the graphic novel and the Netflix adaptation) shows the slow change in the way that Dream perceives humans (or actually all other beings) - not as just meaningless visitors in his realm, but as complex creatures worth his compassion - notice how his attitude towards the immortal Hob Gadling was changing over the years.

^{1 - The prequel story shows that Morpheus was imprisoned once before, but none of his siblings came to help him, even when he asked for it}