I think it all comes down to the feeling of cause and effect. Players like that a lot. A strictly linear game can give your players the feeling that they're influencing the game world just like a sandbox game can, but it can also make the players feel trapped in a particular plot if they want to go in a direction not allowed by the 'plot'. A lot of it depends on how skilled the DM is at making All Roads Lead to Rome, and at dangling the right hooks to interest the players. If the DM is subtle enough, players may never know they're not in a sandbox game. I'm not explaining this well, but you get the idea. (hopefully )