The biggest changes with the update to Windows Sandbox is the addition of a menu where you can add a folder that's shared by the host copy of Windows, and you can copy/paste files. Previously you shared a folder by creating an XML file with the .wsb file name extension, and used that to fire up the sandbox. A shared folder is generally how you get files in or out of a VM -- IOW it's usually essential. The new sandbox does take up more disk space & uses more RAM -- on this PC with 16GB it uses 2GB+. In very limited testing it also seemed prone to stall, become unresponsive for a short time.
The sandbox itself is basically a neutered copy of Win11 stored on a VHD that does not require the hassle of installing VirtualBox, setting up a Hyper-V VM, VMWare etc. It's available on Pro, EDU, & Enterprise versions of Windows, and is installed as an optional component of Windows via Settings. Updates are now handled through the Store, though you won't see it listed as an app there. The sandbox itself is always empty of software with the exception of the Edge browser -- you can install & use whatever software, but the next time you fire it up it will again be a blank slate. You can set it up to run a script when it starts, so if you always use the sandbox for the same things, you can for example have it install the software you'll be using.
Compared to a regular VM [Virtual Machine] you have no control of drivers, which hardware it emulates, which features are installed with Windows and so on -- with a regular VM you install a full copy of Windows that you can tailor however you wish. Having a full copy of Windows also means having to install updates, updating whatever software/apps, managing/cleaning up disk space used and so on. With the sandbox you don't have to worry about any of that -- you basically use it and then throw it away when you shut it down, restart Windows, turn off the PC... Ideally both the sandbox and a regular VM are isolated from the host OS and secure, but both Windows and VM host software are susceptible to bugs and vulnerabilities. As far as privacy goes, I can replace the entire VHD a VirtualBox VM is stored on with a backup copy, meaning the copy of Windows I just used no longer exists, along with anything & everything it recorded. In theory that's also what happens when you close Windows Sandbox, but since the sandbox is running as a part of Windows, and Windows records / stores all sort of data, it's hard if not impossible to say that Windows did not record all or part of what you did using the sandbox.
Note that because the hardware is emulated, neither the Windows Sandbox nor a regular VM will run every app, and running games is iffy. Because it's integrated as a part of Windows, which *may* give it better access to real hardware, the sandbox **may** be able to run something that will not run in a regular VM. Using Windows Sandbox may be a painless way to check out offers on GOTD, though if you activate an app in the sandbox you'll often need a 2nd key for your regular copy of Windows should you decide to keep it.