It's not just with Media Player Classic. It happens with all programs that I have tried with the gadget on. If you want it analyzed, and have the gadget on, and want to choose whether or not to continue to run sandboxed or normally then I don't have an answer. I haven't tried the ask setting on sandbox. If set to ask, the program is not analyzed and I'm not certain if you select run normally if it will work correctly or not.
If you know the program name and path, you could always enter it manually.