Basically the whole Vertigo line posits a fairly explicitly Christian cosmology, and a hierarchy of magic that doesn't really allow for major pantheons like Diana's (or the Aesir or the Egyptian & Mesopotamian Bana deities or Iblis' master Thoth) to exist the way they're portrayed in the mainline DCU.
Dream himself is the major sticking point, though. He's Orpheus' father - he is explicitly the mythological figure whom Diana would know as Morpheus, because he's known to be a player in the stories that are Diana's heritage. And yet, he's an Endless, something beyond godhood and greater than any of them, unrelated to the Godwave, most certainly not the son of Hypnos or in any way familially connected to the Olympian pantheon. He definitely doesn't pay any kind of obeisance to Zeus (or later, Athena). So ether the amazons are completely wrong about who and what Dream really is and sort of arbitrarily guessworked him somewhere into their existing mythology (which makes no sense, because they talk directly to the gods and would *know* what that family tree looks like from the source), or they know that there exists an entity higher than, more powerful than, more eternal than their gods and yet choose to treat him as an obscure minor deity regardless (which makes no sense for obvious reasons). The perspectives just don't gel.