Steam doesn't use sandboxes. For example, in Windows, Steam games usually save their data in My Documents, Appdata, their own installation folder or Steam's Steam Cloud folder (which syncs back to the online storage service for your saves, configurations and other user data). Some even install other programs, like a multiplayer component's library (e.g.: Games for Windows - LIVE).
Valve, however, put some restrictions in place to prevent unwanted behaviour, like a game installing a publisher's games marketplace without asking. The only thing closest to doing that is Ubisoft's uPlay, which Ubisoft wanted to use for updating their games, so instead of shipping the full client each game comes with a mini version that lacks the marketplace and can only be started when you start its associated game.
Games on Steam are mostly the same as their retail counterparts, only slightly modified to use Steam's authentication DRM and made downloadable through Steam's servers.
Steam offers additional services in return, like automatic updates, cloud synchronisation of game user data, achievements, leaderboards and other personalised data (look at a user's Team Fortress 2 stats for an example) and more.