So I thought that Desire and Rose Walker were going to have this whole big side story considering she was his/her's granddaughter.
 
Did I miss out on something completely or does it seem that this entire series seems a tad unfinished.....

Yeah I studied into it and figured it out. I'm still confused but I think for someone like me it's just a book I need to re read. Which hopefully I get the entire collection for free from a friend at work!
REHEHEHEHEHHEHEE

There are a number of what are considered 'dangling plot threads' in the Sandman series.  Most notable was Cluracan's nemesis. 
 
But Desire only had a kid with Unity for the purpose of developing a circumstance where she could force Dream to kill a blood relative.  As it turns out, this was completely unnecessary since Delirium's obsession with finding their brother ended with Dream doing just that.