But of course! That's what his song is about!
Actually, I see a nice paralell here with The Neverending Story's AURYN. You remember what's written on it's back?
And no, it doesn't mean you should fool around and just wish away whatever you have on your mind. As the Ruler of the Desert of Colors, Gograman explains it to Bastian, it is about following your True Wish.
Bastian thinks he knows what his true wish is. You see? Same as for Sarah. She thinks she knows what she wants. As Jareth points it out to her, "everything I've done, I've done for you" - he kidnapped Toby just as she wished. He gave her a chance to get him back.
"I move the stars for no-one"
This. This is where he becomes threatening. FOR REAL. He is warning her.
Sarah : Give me the child.
Jareth : Sarah, beware. I have been generous up 'til now. I can be cruel.
Sarah : Generous? What have you done that's generous?
Jareth : *Everything*! Everything that you wanted I have done. You asked that the child be taken. I took him. You cowered before me, I was frightening. I have reordered time. I have turned the world upside down, and I have done it all for *you*! I am exhausted from living up to your expectations. Isn't that generous?
What Sarah and Bastian both have in common; they don't realize that wishes have CONSEQUENCES.
You starve and near exhaust me
I move the stars for no one
Your eyes can be so cruel
Just as I can be so cruel
Live without your sunlight
Love without your heartbeat
I, I can't live within you
I, I can't live within you.