Doesn't seem to be consistent as I see lots of instances of OTL.exe being caught by the autosandbox when run. Now as far as I'm aware these are likely to be from the desktop as essexboy normally says to download to the desktop and many users download to the desktop.
The desktop is one of those weird folders a little like the MyDocuments, so I don't know if this has anything to do with it. The other one is, is it a desktop shortcut of the actual file.
Testing OTL.exe on the desktop in XP Pro has the autosandbox jump into action.