E.g. on Code Golf, there is a sandbox where people post their posts first inside there for people to review and see if it's interesting before the user posts it. Does Chess.SE have something like this?
No, like most sites in the network we don't have one. On most Stack Exchange sites, it's pretty straightforward to ask a decent question; there's plenty of guidance in the Help Center. On Code Golf, questions have all kinds of written and unwritten requirements, that's why they decided to have a Sandbox. IMHO we don't need one here.
We do have another kind of Sandbox: the Replayer Sandbox, because that's a unique Chess Stack Exchange feature and it's good that you can experiment with it somewhere (other than the preview window).