When I've been a player in those campaigns, I've felt that they are random, unconnected events. Player 1 wants to find his father and he is spending his time talking to contacts and attempting to track down his last known location. Player 2 wants to become the head of the thieves guild and spends his time coming up with plots that will eventually lead him there. Player 3 wants to be a pirate and spends his time at sea robbing ships. Player 4 wants to track down a holy relic of his faith that was stolen by Orcs.
Good sandbox GMs establish genre & tone ("swords & sorcery" & "palaces & princesses" are my two current ones), and let the players establish why they are working together in the
Good players look for connections between their PCs, and reasons to work together - although the
standard Class system of D&D already provides motivation since each PC adds useful skills and
improves the chances of survival & success. It sounds as if your improv theatre D&D game lacks these two elements - (a) the players are not expected to create mutually supporting backgrounds & motivations and (b) the players don't feel any Gamist threat/challenge needing them to work together.