With the right group of players, sandboxing can be such an incredible experience. It engages the players' minds and imaginations. It heightens the stakes, drama, and player buy in because it's their idea, it's their plan, it's their adventure. It's their characters' lives. This adds so much meaning. The setting, that's the ref's canvas. That's where he expresses his creativity, in the worlds, the societies, the situations, the current events, the people, the challenges, and the consequences that are there for the players to interact with. The ref paints vivid locations which bring home to the players that their characters are travelling, they're travelling to new worlds with new places, new situations, and new opportunities to discover. Combined with compelling player character motivations, these things can create roleplaying experiences that players remember for decades. And, the Spinward Marches alone are such a sandbox, a vast wide open sandbox, with so much potential for adventures of every kind.
Yes I criticize D&D, but here's an example of great D&D. I was acquainted with a group of players who knew their characters and the setting so well that they didn't need dice or a single book to play D&D. Sometimes they'd meet for a couple of hours before going out to dinner or something, and simply roleplay their characters in game, planning an adventure, talking to important NPCs, interacting with their characters' families and relatives, and doing all that immersive rp that made their full D&D sessions so deep and rich. They were habitual sandboxers, because the setting was their imaginations' back yard, and they loved it for all the adventure and roleplay opportunities the setting gave them (2nd Edition Forgotten Realms, from Thay to the Sword Coast, from Waterdeep to Zhentil Keep).