Cloudflare needs to worry about their sandbox, because they are running your code and you might be malicious. You have less reason to worry: if you want to do something malicious to the box your worker code is running on, you already have access (because you're self-hosting) and don't need a sandbox escape.

Automatically running LLM-written code (where the LLM might be naively picking a malicious library to use, is poisoned by malicious context from the internet, or wrongly thinks it should reconfigure the host system it's executing code on) is an increasingly popular use-case where sandboxing is important.