This bug remains since CIS 4, and it’s very annoying. The strange part about it is that it occur sometimes, and sometimes not, and because of this I’ll disable sandbox until it’s fixed. Bellow the link where you can see my (always) sandboxed apps: http://picasaweb.google.com/eduardobfs/CIS50SandboxBug?authkey=Gv1sRgCI-yhKvxj6bncA&feat=directlink
From the information you have given I think this is probably because you have ‘Block all requests when the application is closed’ ticked. You should not have this ticked unless you know you are malware infected. If this is not the problem please see the FAQ in the stickies for other possible solutions.
For the moment I will transfer you to help so you can work through this issue and hopefully resolve it. Please ask any mod to move this report back to the bugs forum if it becomes clear that it is a bug/issue.