Downloading an arbitrary executable can be made safe (via multiple avenues: trust, anti virus software, audits, artifact signing, reproducible builds, etc) and once the software is vetted, it exposes (or it should at least) little to no attack vector during daily use.
My mom has six weather apps on her phone.
But a keyboard flashed with malicious firmware becomes an undetectable keylogger, a USB rubber ducky, and a virus-laden USB stick all in one.
The concept that someone would want to reflash their keyboard firmware, but wants a sandbox because they don't trust the firmware programmer makes no sense.
Regardless, the real reason people use this is because it's incredibly convenient compared with using QMK and ZMK directly.
It will probably come natively one day in Firefox, and we should push back against such attack vectors.