No, you are not meant to be able to install things in the sandbox, only run them.
With Avast! Free, you can only run something in the sandbox is it gets flagged as possibly suspicious (installers with no digital sig. are one example that it often flags) .
With Pro or AIS, you can also run what you want in it (on-demand), in addition to the auto-function. But avoid installing into the sandbox. So if you have a paid version and use the "always run in sandbox" option on a program, you might want do disable auto-updates on that program if it uses such an option, to avoid potential headache and confusion.