I have observerd that some applications always copy a file called webcachev01.dat located under C:\Users\Username\AppData\Local\Microsoft\Windows\WebCache into the sandbox upon running. I have read that this file has something to do with Internet Explorer's browsing history but HTML5 applications can use it as a local database as well.
The reason I am wondering is that these applications seem to have nothing to to with Internet Explorer's browsing histroy and some of them copy that file into the sandbox and some others don't. Programs that do this: Windows Media Player, Media Player Classic Home Cinema, eM Client. Programs that don't: IrfanView, PDX-XChange Viewer, Foobar2000.
I have also observed some odd behaviour concering Media Player Classic Home Cinema regarding this issue. At first it always used to do this. Then came an updated build with Windows 8.1 support and it suddenly stopped but it started doing it again when I switched from the last sandboxie betas to the official 4.06 release. I am not 100% sure if that's the right order, but this behaviour at some point changed between sandboxie beta, final and mpc-hc builds and then reverted back to its old habit.
Edit: I am running Windows 8.1 Pro as of today before it was Windows 8.