Sand has way less heat capacity then water per kg (about half).
Water can be heated to 95C with standard unpressurized vessel. Sand in this application is heated to 600C.
Sand is denser then water (kg/m3).
For the same heat energy stored this comes out to about 2.5x more volume of water(95C) compared to sand(600C).
Water and Sand are both dirt-cheap.
Hot water can be managed with standard plumbing equipment.
Sand needs some high temperature piping (hot air to water heat-exchanger, resistive heat tho heat up the sand).
How well both contain the heat is primarily dependent on the isolation. Which favors the smaller footprint of sand, but needs to isolate a higher temperature difference...