It's not that "going deeper is dumb."
It's that "going deeper is riskier, with potentially greater rewards."
fair enough, I was only building a silly catch-phrase to make a point.
Going down 1 level lower is riskier, but still within the realm of possible success.
But a 1st level jumping straight down to the 20th is likely suicide. It's the extreme that I'm really talking about. If a PC found a chute to the 20th level of the dungeon, it's pretty unlikely they'll be coming back. I suppose there's somebody willing to do it anyway. But I bet that player also isn't vested in their PC as much.
Anyway, it's my fault for derailing into a choices discussion.
The real point should be, to make sure there are "rational" choices for your PCs to make. Not ones where the decision is inherently obvious because to choose otherwise would be fatal.
I think in a sandbox (or any game style), to make those choices available, you've got to expose information and opportunities (which might be somebody else's weakness) to the players. So they can decide what direction to take and what to pursue.
That might be in the form of "nearby" dungeons. It might be other NPCs with goals that they need help with. It might be "crooked" NPCs that the PCs have no qualms taking down so they can take his role in society.