If someone really wanted to leave the sandbox in my game, they could. I would figure something out.
It's never happened. Games have simply ended for other reasons before a suggestion like that ever came to fruition. I've had the opposite happen sometimes, when it becomes clear my players want a game with more direction and I have to retool, but never has anyone just decided to turn left and hop out of the box onto the grass.
As a result, while technically a possibility, I simply don't worry about it or agonize over the theoretical loss of agency it represents, and as far as I know neither do my players. It is not a practical concern, and no one to my knowledge feels that my sandbox game falls "well short" of the IMO high degree of agency the playstyle promises.
What do you mean by a game "purporting" to be a sandbox? Can you give me an example of such a game? Every TTRPG I ever saw that called itself a sandbox delivered.