Yes they are family, but why is Orpheus the only oracle who could lead Dream and Delirium to find Destruction?
As Todd Wilcox notes, it is an oracle's job to know things others don't know. In ancient Greece (as the myths tell) it was common to consult an oracle on occasions when it was crucial to make the right decision.
Why only Orpheus? When Destiny suggests they seek an oracle, Morpheus tells him there is no oracle capable of "seeing" their family, thus stating that the Endless are above the ordinary oracles' competence. Orpheus, however, being the son of Dream of the Endless and a muse, is not an ordinary being in any way. Being of Endless descent, he appears to able to "see" his family, at least to Destiny's and Morpheus' minds.
From a story-developing perspective, Morpheus had to see Orpheus and do what he did because this enables the rest often series to evolve. (spoilers for the end of the series) Neil Gaiman said in The Sandman Companion that this is a point of no return - if before that moment Gaiman had "escape hatches" built in to take the series in a different direction, after Morpheus kills his son he seals his fate, which results in his own death at the end.