All keyloggers, info stealers, etc. must have two components:
1). The Collector (of information to be stolen), and
2). The Transmitter (connecting to the Internet to send the info stolen by the Collector).
Both of the above have to be undetected and allowed to operate in order for the user to suffer a breach, and blocking either one or two will protect the user. Things like traditional AV's and anti-logger programs like Zemana will concentrate on stopping the Collector (either by direct Definition-based detection or by stopping the mechanism of the collection itself). Comodo also has the potential of detection the malware via the Cloud, but will take a broader protection pathway by Sandboxing the mlaware and preventing transmission.
Yesnoo-
1).On Comodo, just right click the icon in the Taskbar and select "Advanced View". This will show the amount of things in the Sandbox, and by clicking on this one can add whatever to Trusted).
2). Asking the User if they want a program sandboxed would be like Norton asking the user if they want to run an application even though it has been flagged as malicious. A really, really bad idea.
3). You can shut off the clod AV easily- Go into Advanced settings, File Rating Settings and there is a Checkbox to Enable the Cloud AV. I normally turn off the Cloud in the few Video's I've done so it won't detract form the Sandbox.
4). I also have the Sandbox popup alert disabled. On a legitimate application, when the application box shows up it would be bordered in Green as a visual cue, thus (for me at least) obviating any need for a popup. If you run an exe and don't get an application box this is pretty indicative that that file is messing with your computer directly (like Ransomware), so not getting any visual cues or popups is a very good thing.