Regarding cyberware and mages:
As I recall, lowering Essence lowers your Magic (Or Resonance). Period. And it rounds down. So yes, cyberware on a mage is a hilariously bad idea. The second you install a single bit of cyber or even bioware on yourself, even if it's just .1 points of Essence lost...BAM. Your Magic/Resonance goes down a full point. You're right regarding the maximum though - hilariously enough, every lost point of essence also lowers your maximum Magic/Resonance. So yeah, you get smacked TWICE for it.
Do not lose Essence if you are a mage, adept, or technomancer.
I personally never saw issues with mages until spirit binding came into play. Watch out for spirits. When a magician specializes in spirits, there could be...issues.
The issue that mages, adepts, and technomancers all have - especially technomancers - is that nuyen just isn't that great for them. Everyone else progresses twice as fast as they get karma and nuyen. Technomancers are especially bitten hard here, as close to none of their stuff can be increased with nuyen. Mages can get foci, fetishes, build of their lodge, buy formulae, etc. Depending on the adept they might need the newest, biggest weapon just as much as the street sammy, and still uses the occasional power foci. Technomancers...can't really do much with nuyen.
As such, I'd point out that slight warning that, if you do have anyone going technomancer, be aware that there's a good chance they'll be slightly behind on the power scale. Personally? I love technomancers. I think they're incredibly cool conceptually, and I and a friend had a tag team technomancer/mage that just felt awesome on so many levels. But. I relied pretty damn heavily on sprites in order to at normal hacker levels. If you have a technomancer, I would recommend considering, perhaps in the future, allowing materials from Unwired. Poor guys need it.
In the end, I've found that Shadowrun is very strongly oriented on specialization. That isn't to say that the mage can't do stealth - quite the opposite, mages can be excellent at the scout role. Rather, I'd say it's more that the scout uses magic. Mind you, one player can also play more then one roll - in this example, the mage is good at scouting (invisibility and diviniation-related magic), and can also build their Magic and summoning skills. Or it could be a street sammy who's not just good at staying hidden, but can do a silent take down on that guard without ever blipping on the Astral Plane, and if a fight does break out, guess who has a ton of 'ware backing him up? However, there is no bard. There is no "jack of all trades, master of none." Usually, each player will have one or two roles, depending on how demanding the role is - you don't need a dedicated player to be and only be the Face, for example; they can also bring quite the firepower with them, or be sneaky bastids. On the other hand, hackers are hackers and, usually, only hackers. At the most, they dabble in rigging, or are riggers dabbling in hacking.
Oh, and as for being overpowered, while binding magician is pretty obscene, I'd say riggers are worse ;p
Regarding the sandbox-esque bit...yeah. Shadowrun can bring out the at times hilarious levels of creativity in players. As the joke goes, how do you mess with a runner's head the most? Have a run go off with no complications. If the door is unlocked, they'll surgically remove a window and enter through there. If the room is unguarded, they'll bring up several spirits and sprites to patrol the area and wait half an hour to be extra extra extra sure - and then still sneak in as quickly and undetectable as they can, by lowering themselves in from the roof. If there's just two guards at the warehouse entrance and no other security, they'll stun one with magic, knock out the other with the street sammy, spend an hour carrying them away from the site to a completely different part of the city, disguise two members like the guards, and then sneak in. From the roof.
Or maybe the rigger just gets bored and runs through the warehouse with his bulletproof A-team-esque tank-van.
Lastly, talk to your players. As others here have said, this is perhaps the most crucial. You're going to really, really want to set down how grim the setting is, how imposing the ever-present cameras are, what kind of feel you're going for, and so on. Shadowrun is a very variable world, and you want you and your players to be on the same pages. You may grow amused as your players expect cameras on every street corner to be watching out for them, taking thirty cans of RFID tag erasers. On the other hand, your players will be extremely irritated if they walk into the building only for you to tell them that their underwear has an RFID tag that causes the entire base to be alerted to their presence.
And lastly, a joke you will learn to love:
How do you stop a team of professional, skilled runners who are ready for almost anything?
Throw a box of chemicals at them. They'll all be allergic to something.