Oh, that's interesting that you feel that way about sandbox games. I get that it can be irritating to not have a clear goal or end to the game. They're more about making up your own challenges and by that your own gameplay experience on the way. Reminds me of Minecraft!
Somehow, sandbox games don't induce that kind of anxiety for me because I never feel like I'm "missing" something if I tackle a challenge one or the other way because there's always another playthrough up next to explore the other route.