Quite simply, there are a whole lot of games -- really, the majority! -- in showing up to play which one does not expect to get told a story. Your taking for granted something so actually odd is itself curious. The notion that I should offer some special Warning: This is NOT a Theatrical Production! to people invited to play a game strikes me as quite outlandish -- as I imagine it would to anyone to whom I am likely to extend such an invitation.
I'm too lazy to hunt down the text in all the RPGs and editions that comment on how this "game" does not have any winners or losers, unlike normal games.
It goes back to at least 2E, and I've seen it in countless other non-D&D rpgs.
An RPG seems to be a hybrid of simulation of a fictional world and a theatrical prodction. The main debate is really that some DMs lean more to the left or right.
In all cases, the DM decides what is there and what happens next. it is all DM fiat, even the simulation. As proven the moment something happens that isn't explicitly covered by the rules and the DM makes a decision. That includes whether to put the front door of the spooky mansion facing north versus south, to which PC gets attacked by Orc #5.
I agree that in no game do I expect to be TOLD a story. However, in a game about fictional characters (ie. individuals) doing heroic stuff, I expect that the events that occur ultimately FORM a story.
Seriously Ariosto, what's the big deal? Here's a challenge, write down the events of your last gaming session. Maybe include an introduction, if the party was in the middle of something. What you have when you are done, is a story. It may be well written. It may not make any sense. It may be boring.
My intent as a DM, is that when you are done with my game session, and you do that same exercise, that the outcome is a decent story that you enjoyed. The core objective is of course that you enjoyed it. Everything else is just a tool and style to achieve that.
Since people enjoy talking about themselves (true, it's the secret trick to mixing at parties, listen to other people). A story about YOU (ex. your PC) is more fun than a story about ME (ex. my DMPC/NPC). To reinforce the last statement, the story must be a good one that you built. Me making up a story about how ariosto saved princess flumph will not appeal to you as much as me enabling you to save/kill whomever you want in a cool fashion.
You can do that in a sandbox, just as well. By using story elements. Or to phrase it in sandbox terms, by not putting unrelated random junk in a world that is static and unmoving. I don't think in sandbox terms. I think in story terms. But that doesn't mean we're actually doing things wrong.