I've encountered DMs who seem to think that a "sandbox" obviates any need from them to provide a plot of any sort: that PCs will "experience" the world; that they will ask questions which can, after suitable deliberation by the GM, be eventually answered; and that it's basically players giving notes to the GM for some light homework. To me, this tends to produce slow, stodgy games where options and information are hard to get at, and players flounder for lack of focus.
In good sandboxes I've experienced or read about, the GM has a set of pre-prepared options to dangle in front of the players; those that aren't picked may get recycled later, or may mutate into worse threats (for the by-then-more-experienced PCs) after being neglected. And, if a player suddenly asks a merchant, "Hey, what's happening over across the mountains in Aquilonia?" the GM will not then mumble something neutral and uninformative, but will instead not only whole-heartedly launch into a (possibly improvised) tale of whatever's going on in that realm, but also be ready if the party of adventurers decides to junk whatever they're doing and travel there.
Yes, that's hard. If running a prepared campaign is playing from sheet music, running a sandbox is improvising jazz. There's a lot of bad jazz out there, and a lot of people who try it and find it not to their liking. But that doesn't mean that, with the right people on the right occasional, it can't be something wonderful.