|I know about this, the reason is (obviously) that "Run Web Browser" first checks what is the Web browser and then goes sandboxed. If it was the other way around, this would not be a problem. However, it is rarely a concern so I'm not sure I'll fix it. An easy workaround for you is to use Sandboxie Control > Configure menu > Windows Shell Integration > Add Shortcut Icons and create a shortcut to run your sandboxed Firefox. Then use this shortcut instead of "Run Web Browser".
If it's not too difficult, then it would be handy to be able to do this. Starting a browser by hand is easy enough, but when applications running in a sandbox pick up the default browser, one is stuck with the unsandboxed default.