It doesn't happen very often, but I have had SbieCtrl.exe maintain a lock on something in a sandbox.
Shutting down Control will remove the lock.

I had a couple of files in my sandboxed "Downloads" folder that I didn't want to Recover, so I just chose to Delete Contents.
The sandbox folder wasn't renamed or Auto Deleted, so the next time I used that sandbox those files were again listed as available for Recovery.
Again, the sandbox wasn't deleted, so I checked with Unlocker and Process Explorer:

I'm wondering if there's anything that I can check, if it happens again, to determine the cause.
As I said, it happens very seldom. I can go for months without this happening.

I'm afraid I don't know what to suggest.
But when I have the time, I will try to look at the code with this in mind, and maybe I will find something.

Better late than never.

Related topic:

http://www.sandboxie.com/phpbb/viewtopic.php?t=9105