Lucifer - in both The Sandman and later in Lucifer - struggles with acknowledging what he is…the physical embodiment of WILL. His brother Micheal may have the creative impulse but without Lucifer it will never be used.
So God creates a being filled with all the will in the universe and not a drop of conscience. The entire 75 issue run of Lucifer is about the title character being outraged that, even though he has the will to move worlds and be free, he’s doing it at the behest and creation of another: God. He’s trapped in a conundrum he can’t escape no matter how hard he tries.