I think this has to do with your Mendix ID. You were probably logged in in your Mendix ID in the browser in which you opened your Sandbox app. I believe Mendix performs a Single Sign On with your Mendix ID. This explains why you didn't see your login screen. Be sure to place a sign out button somewhere in your app to be able to sign out and sign in as a different user. You can also try to go to your applicationURL/login.html, this should always bring up the login page.