It's not that I disagree with what you've written, so much as I fail to see why it amounts to a criticism. Plenty of good novels, and even some great ones, feature passive protagonists where events don't go anywhere.

I am not a Gaiman devotee. My impression of the Sandman comics is that if you didn't read them as a teenager in the 90s you're never going to appreciate them. I didn't, so I don't. Be that as it may, from the few titles of his I have read it's pretty clear that Gaiman's strength really does just lie in evoking a certain sort of atmosphere. In that respect I think your dismissal of AG as simply being a bad Zelazny rip-off sells it short.

Gaiman wants to paint for us a picture of what it would be like if the gods of old Europe washed up as refugees in America. Shadow is the Dante or Josef K dragged through the milieu, bearing witness for the reader. To that extent I suppose any journey he goes on is largely an internal one. Be that as it may, the Shadow we meet at the end of American Gods is convincingly different from the one we meet at the start.

I promise to keep an eye out for Creatures of Light & Darkness, though.