Sarah's line, "You have no power over me" in the movie #TheLabyrinth made no sense to me. Jareth was clearly able to screw up time and kidnap her baby brother. He had the powers attributed to fairies, and they could seriously screw up a person's life. That idea does make sense, though, when you know that they had to follow rules. They just didn't have to explain them to you. So if you didn't enter their realm, or agree to a vaguely-worded bond, or otherwise play their game their way, they couldn't twist those rules to mean whatever they wanted. They could do you harm, as Jareth did when he kidnapped Toby, but Jareth couldn't force Sarah to stay with him.