I loved Wanda! She also felt a bit off to me initially, but I think that was maybe just because her job is kinda sketchy to be a guide for "important" people and keeping a low profile.
But that scene with her talking about her family was so sad, and for her to almost immediately afterwards die.
Delirium just wants everything to be "okay" again and she breaks my heart. I think Dream didn´t mean it negatively when he said "we aren´t friends, we are family" its just a distinction he makes, but as family he still cares about her. He once again just sucks at communicating things properly.