For basic browsing, and simple application installing, is Sandboxie enough?
Are there times where a VM would offer better security?
It is just guessing but I would say it depends on the balance of whichever of the applications is more popular and more stable(fewer vulnerabilities).
Afaik malware writers generally write exploits for software that is:
So if you pick a not so well known virtualization software that is very stable, you have less chances of catching malware.