A simple answer is that souls want to come in to the Dreaming, while they want to get out of Hell. There's a layer of security involved. Also, when Lucifer says Hell practically runs itself, he's referring to a hierarchy of employees who've had millennia to maximize their productivity and learn their mission statement. They all report to him, and in most cases, they probably already know what he'll say.
With Lucifer at the helm, then, Hell does run itself. Once Morpheus takes over, however, all that changes. It's the worst kind of lie, a truth that becomes false as soon as it's told.
Similarly, while Morpheus doesn't comprehend everything that goes into running Hell, Lucifer doesn't appreciate the problems of running the Dreaming. Like a horrible boss, he's trying to get someone else to do his job and their own at the same time, while he goes on vacation.