Unfortunately for you everything is contained in the sandbox isolated from the system so when the system crashed (or if you closed the program I believe everything is wiped).
The file system shield scans the program and depending on certain circumstances (not digitally signed, emulation, location of the file, etc.) then it will hand it off to the autosandbox with the recommendation to run sandboxed.
If you are happy that the file/game is legit, clean, from a good download source, etc. then you can elect to run it normally and check the Remember my decision for this program.