It happens with cookies as well. It's especially bad on the developer sandbox. If you ever have trouble using the sandbox it's either because your cookie is too big or it's broken for the 11th time this week.
Paypal sandbox was always really problematic when I used to have to use it. Full of odd cases where you'd suddenly find yourself outside of the sandbox, or undocumented issues such as needing to run your IPN listener on port 80.
IPN brings back some painful memories - IPNs from settlements, IPN timings...
Please do this, sorting out the sandbox cookies problems should be at the top of their priority..