I think that's just related to the script shield (working only with IE) to prevent malicious scripts from stealing your data when you login to a secured site and enter info, like banking stuff, the use of a credit card etc...
This said the script shield is already available in "pro" that is not supposed to protect against data theft, so I wouldn't mind an explanation from Avast. The terms "preventing theft of online personal data/ identity theft" etc...is widely used to advertise internet security suites, yeah...widely used
edit: unless they consider that protecting your connection on a public network (wi-fi hotspots in airports etc...) is part of that too. But the sandbox has so obviously nothing to do with protecting private data