Why Sandbox solution will not support Visual Webpart
The standard Visual Web Part is not supported in the sandbox environment. The reason for this is because Visual Web Parts effectively host an ASCX user control within the Web Part control. The ASCX file is deployed to the _controltemplates virtual directory in the physical file system on each Web front-end server. The sandbox environment does not allow you to deploy physical files to the SharePoint root, so you cannot use a sandboxed solution to deploy a Visual Web Part based on the Visual Studio 2010 Visual Web Part project template.
A Visual Studio Power Tool is available that addresses this issue. A Power Tool is a plug in for Visual Studio. The tool will generate and compile code representing the user control (.ascx) as part of the assembly. This avoids the file deployment issue. You can download a Power Tool for Visual Studio 2010 that supports Visual Web Parts in the sandbox from Visual Studio 2010 SharePoint Power Toolson MSDN.