Sandboxing means that some features won't work on the App Store version - i.e. This makes that folder available through the sandbox for OneDrive. This is the reason that when using the App Store version for the first time, you have to confirm the location of your OneDrive on your computer.
'Sandboxing' means that the application is limited in what kind of resources on your computer it can access. The difference between the two is that the App Store version is 'sandboxed' where as the standalone version is not.