It's interesting, I think this is pure opinion. I personally find sandbox games boring and have never put more than an hour or two into one. I feel like there's "nothing to do". This is obviously silly, the point is that there's so much to do, but I think the lack of structure means I have no goals and whenever I try to come up with my own they're often not conducive to fun gameplay. However, when I play a story driven game, or even when I play a sandbox game with good _direction_ (Satisfactory comes to mind), someone else has curated that goal for me in a way that encourages fun gameplay.
This is not to downplay or invalidate the fun you get from sandbox games, they're clearly a very popular genre. I think they just appeal to a different sort of person.
It's nice in a way that GTA has both.