When the party are leaving the sandbox edges, I find it does not normally need a hard "You can't go that way". Instead I find the best technique is to shift GMing mode from detailed (eg hex by hex) to very broad-brush.
"You spend a week out beyond the Kurmanur Wilds, but there seems little of interest here."
Players don't take offence at being told a summary response to their actions. They can take offence at being told "You can't do that/go there".
Shifting mode is a very important GM technique, something we all do routinely (eg exploration-combat-downtime-social). I've only ever seen Justin Alexander give it much attention, but knowing how & when to shift is a particularly powerful tool in running non-linear campaigns.
