No need to be afraid or intimidated by DefenseWall. It is a great program, well made, easy to install and uninstall and it doesn't destroy computers like antiviruses or HIPS do when they are uninstalled.
Additionally to learning about the differences between trusted and untrusted applications, learn about the Rollback feature. It is a great feature as it helps you to follow the changes that take place in your computer as you use the PC. I found myself opening that Window all the time, if malware gets downloaded, you ll see it listed there as well as videos or anything else that you download or any file that gets created by programs that you run untrusted.
If you are using Sandboxies free version, it makes perfect sense to me to use SBIE and DW as a combo. If you have Sandboxies paid version, then its a different story.
Bo