Oh, dear, I probably really shouldn't be the go-to person to ask whether you should avoid something because it might be too horror-y, because I've become so comfortable with certain kinds of horror by this point that it sometimes barely registers for me. I will say that "Dream of a Thousand Cats" is horror more in having some creepy possible implications than anything viscerally nasty, although it does talk about bad things happening to cats, which, as far as I'm concerned, is something that's kind of its own special category of upsetting things. It's definitely not "24/7" kind of horror, anyway. But it's also really not integral to the plot at all, although it probably does enrich the experience a bit just by virtue of demonstrating the way that Dream can appear differently to different people (or species) and the way that he plays different mythological roles.

"Calliope" is to a large extent about misogyny, although, y'know, it is against it. I'm trying to think whether anything in it is particularly important later on, but it's been so long since I've read the comics that I'm probably not the best person to ask about that, either. It does at least tell you something about Dream's love life, though.

All of which is probably rather unhelpful, I'm afraid, but there you go.

As for Mason Alexander and cat ears, well, I don't know who influenced who on that one, but, really, how could you not want to keep putting them in cat ears after having seen it once? :)