I think he only sandboxed apps are the ones from the App Store—Signing is orthogonal to sandboxing. Even signed apps that you get from anywhere other than then App Store aren't sandboxed.
In which case it's no different to Linux, OpenBSD or whatever.
As long as its your account files that matter, and you're running an app un-sandboxed, then it has access to them.
Nothing Windows or OS X particular about it.
As about "ruining your system", no, without root privileges it cannot, in either OS X or Windows. Of course it can if there's a privilege escalation bug, but there are tons of those for GNU/Gnome/KDE packages too.
Erm, OS X has sandboxing. So, no. Except if you use unsigned third party stuff.