I configured a job using Active Choice Parameter with Groovy Script. I did check "Use Groovy Sandbox" below the script and save.

I was able to run a build after the initial configuration.

But after that build, the "Use Groovy Sandbox" checkbox got wipe out and the parameter doesn't display correctly. I had to reconfigure and check that box but I am not able to run it once because it will get wiped out again.