The following answer is a collection of information I gathered to form my opinion around the subject. Maybe it helps you too.
Main purpose of sandboxes
AFAIK the only sandboxes that exist are those in Codegolf and Worldbuilding.
Both sandboxes state their primary purpose like this:
[Posting your question in the sandbox first] is useful because writing a clear and fully specified question on the first try can be difficult. There is a much better chance of your question being well received if you post it in the Sandbox first.
So a sandbox's main purpose is to increase the chances of a question being received well. Why does it need extra help to increase the reception of question? Because it is hard to formulate a good question on the first try.
Analysis of the sandboxes
I think the main reason why a sandbox might not be a good fit for us lies in the description itself (emphasis mine):
This is useful because writing a clear and fully specified question on the first try can be difficult. There is a much better chance of your question being well received if you post it in the Sandbox first.
Do you notice it states "on the first try" and not "for the first time"? This means that writing a good question is hard for everyone on these StackExchange sites.
This is proven by looking at the at the proposed question in either sandbox. More than 50% of the users proposing questions are 1K+ members*.
A closer look at Codegolf and Worldbuilding
Why is it hard to formulate good questions on these sites?
Because these are sites that allow for multiple correct answers.
A question on CG could be some challenge where the winner is the submission with the fewest bytes of source code, this requires per definition more than one submission.
A question on WB almost always asks the users to be very creative to solve unique problems. These are questions along the lines of "under what circumstances could ponies evolve into actual unicorns?". There is just no single definitive answer.
So both of these sites have a major problem: every question could potentially generate hundreds of acceptable answers. To make sure not every question is Too Broad, they need to have a clearly defined scope. And that's problematic. Making questions is easy, defining a scope is hard
The sandbox helps even the most experienced user to create a clearly defined scope (e.g. "can the dragons breathe fire through chemistry or magic?" or "can we assume that input is always a number?"). It's to avoid a possible confusion about the OP's intent and to make sure the question isn't ambiguous.
Sandbox for our community
We don't face the same problems. Once the rep raises, so will the likelihood of a well formulated question within the scope of our site rules.
The problem we have (IMHO) is that people don't understand what this site is for. Many people seem to think that this is a site for interesting/intellectual questions. And that is the real problem we have to fix.
There are evidently plenty of people who think that as long as they use some magical phrase such as "I am skeptical about..." or "What is the evidence for..." that it is automatically on-topic. This leads to many questions that are presumably perfectly fine for other SE sites such as Politics, Law, History and Physics, but not for us.
And the stupid thing is, Skeptics.SE has one of the simplest rules about which question is on-topic. It's just that people don't seem to know them:
What did you read or hear?
Was it from a notable source (famous person/relevant authority/mainstream media)? Or is it something that many people believe (there should be plenty of examples to prove that it is a widely held belief)? In any case, back it up with references.
Is it self-evident why you are skeptical about this claim? Is it not referenced? Is it counter-intuitive? Otherwise explain carefully.
Is it self-evident how this claim could be debunked or verified?
And that's pretty much it, that is how I evaluate questions on this site, but YMMV. On those other sites, every question is unique and needs an unique approach. Here we (should) have strict rules as to what constitutes as a good question, defeating the purpose of a Sandbox IMHO.
Sandboxes are for all users, not just low rep users.
New/low rep users should know how to formulate good questions through the site tour and help center.
Skeptics.SE main source of bad questions come from new/low rep users.
Conclusion: Skeptics.SE doesn't need a Sandbox as is currently proposed.
*I only looked at the first page of either sandbox.