I believe the Sandbox mode is called Free Build. If it doesn't show under Single Player, try verifying the game cache in Steam.
How to:
Start Steam and make sure you are Online.
Select Library at the top.
Right click Stronghold 3
Select Properties and then the Local Files pane.
Click the "Verify integrity of game cache" button.
You might see a message in the taskbar saying that Steam has finished downloading Stronghold 3.
"Cats are the only animals that are both uber, pwns and 1337 at the same time." -King Euric
By reading this fine print your soul is now the exclusive property of HeavenGames.[This message has been edited by PCDania (edited 05-31-2012 @ 03:15 AM).]