Sandbox will store the files in the HDD.

What applications do you want to run sandboxed?

I think this question would be better answered by someone who is using Avast Pro or at the Avast support forum.

Well, anyway I searched their forum and found this:
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Q: Can you tell me what happens when you download something from the net while running in sandbox?

A: The sandbox has a setting "Automatically detect default locations for saved/downloaded files and save files to these locations outside the sandbox"