Reading the "Sandman" series you can clearly see that Death and Dream were close - in The Sadman presents: the Thessaliad someone even says to Thessaly about her relationship with Morpheus that
You never stood a chance with him , because of his unhealthy attraction to his own sister. *
In any case, we can definitely see that Death was very upset when she had to take Dream - in the "World's end" she is walking last in the procession looking very sad.
And then comes the Daniel Hall, who is the new Dream of the Endless - is there anywhere (not only in the "Sandman" - Daniel and Death appeared in other works as well) described how does her relationship with this "new brother" look like? Knowing Death, she will be quite friendly (she is like that to EVERYONE), but is there anything showing that she either genuinely likes Damian or that she is upset by him "pretending to be her brother"?
* Although it was rather supposed to mean that Morpheus was looking for a way to die