Warning! SPOILERS for The Sandman season 1.
The death of Jessamy the Raven in the first episode of Netflix's The Sandman represented a major change from the comic book that inspired the episode. However, the early introduction of Jessamy into the show helps address a plot hole that was seemingly created by the introduction of Dream's ravens later in the comic book series. It also helps to set up the introduction of Matthew the Raven, who provides Morpheus (aka Dream of the Endless) with someone to talk to while simultaneously providing the audience with a proxy to whom the world of The Sandman can be explained.
The character of Jessamy did not originally figure into the opening arc of The Sandman comics, nor was Morpheus depicted as using ravens as messengers and spies until the second volume of The Sandman, The Doll's House. This retroactively raised the question of why Morpheus' raven did not come into play when he was captured by the wizard Roderick Burgess in the first issue of The Sandman. Morpheus and his ravens were shown to share a psychic connection in the comics. Even if the raven could not aid in helping Morpheus to escape directly, there was seemingly nothing to stop it from summoning help from Morpheus' servants in the Dreaming and guiding them into the Waking World.
Related: The Sandman's Biggest Story Changes From The Comics Explained
The first episode of Netflix's The Sandman adaptation, «Sleep of the Just,» addresses this point by revealing that Jessamy spent a decade harassing Roderick Burgess after the Corinthian instructed him in how to bind Morpheus' physical form and hide him from magical detection. Presumably the same spells that contained Morpheus' power also prevented Jessamy from being able to
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