You should be fine. Just use Proactive Mode to prevent outgoing connections. Between the Sandbox and D+, you should be safe from malware. You can make more secure preference settings, but they will come with more alerts.
Comodo offers several layers of protection. Disabling the Sandbox removes one of those layers, so your protection is decreased by that. D+ is still a good defense. Allowing all outgoing is a little more risky. You’ll just have to decide on how much protection you want. The choice is yours.