they're not saved when safe locations are excluded from virtualization. Don't know how "safe locations" are chosen but it's getting weird, I can see the bookmark file in the sandbox folder
edit: same for downloads, using pre-defined download location, download gets sandboxed, although as said safe location exclusion setting is checked. I could exclude my profile folder from sandboxing but again, as said in another thread, what's the point if cached pages aren't sandboxed
Another thing, strong hard disk activity when changing this safe location setting and restarting the sandboxed app; will happen each time until next reboot.