There is nothing wrong with this, this is how Gygax intended D&D to be run, minus the story and the context. D&D Second edition made it more of a story game where Gygax kept it at the level of military style hack and slash raids. But this is where a true Sandbox goes deep beyond AD&D First or Second Editions and beyond the OSR, where any story is stripped and the game is purely an old style so-called site-based adventures and Hex Crawls. Sandbox goes beyond all this by offering the players a world without the storyline. This is not the world of the tavern, the adventure supply store and a dungeon awaiting the players, James Maliszewski's Dwimmermount and Gygax's Cstle Zagyg being the apex of that. Unlike the previous two, the Sandbox has the potential to sweep the players off their feet and drag them towards oblivion like an avalanche. An example of this would be the players charcaters cast as Jews in Poland just before the Nazi Germany invades it. Unless the players act and act proactively, they will end up in a death camp by the end of the campaign. Your Sandbox should be set up in such a way, that if players keep on doing what they normally do, the world will swallow them. Players as Mayans greeting Cortez. Players as Elves on the verge of men taking over their ancestral lands. This is but one theme, players can be adventurers clearing the frontier of monsters and treasure, but eventually the land will be cleared and the King and Ruling elite will seek to enslave the adventurers and take away their wealth and power. Players can be on the edges of the conflict between the Wizards and Priests for dominance over the Sandbox.
What I am saying is that if the players don't deal with the Sandbox, the Sandbox will deal with players. What you need for your Sandbox to successfully engage with players is Conflict, and you need a historic timeline for that conflict engulfing your campaign setting, as well as some consideration how the players' actions can alter that timeline by successful adventuring, if the players pick up on the clue and take appropriate actions. The need for the players to act should be made more and more clear as the campaign draws closer to its end, but the later it gets, the harder it should be to turn the tide of the adverse events. In the beginning, the threat is vague and barely perceptible, but their chance to thwart history gets better the earlier the players get involved in the conflict. It is not true that there no winners or loosers in a Sandbox D&D Campaign. When the campaign ends, the players are bound to arrive at its conclusion, however many dead player characters later. The ending for them will be anywhere between the two poles - On one side the timeline of the conflict did not change and the players had no impact on it. On the other, the players were able to thward the march of history and save themselves and their world. Most likely the players will have some impact and how far they got or didn't get, is the ultimate degree of their victory or defeat.