gdmars: I can confirm sanbox mode for Linux version 2.0.2J
but
Checked in Windows downloaded by GOG Galaxy : version 2.0.2L does not seem to have any option to start sandbox
Strange, because I've installed (and have played) the windows offline installer, and I can create sandbox game without trouble. And I can select the "Alien domination" or "Mummypocalypse" without issue too, which confirms that the free DLC is included.
Maybe something went wrong with your installation ? Or there is a bug with Galaxy's version ? in this case you should maybe contact support ?