I have a Developer account with a Developer Role, although apparently without the stated ability to create my own Sandbox ID. So, our company's Administrator is trying to create one for me.
But each time he enters a new icloud.com address to create one, he gets the error,
"Your Apple ID or password was entered incorrectly."
(The example at the above link uses icloud.com, and that seems the natural place to do this. I'm assuming that since you can't actually create an icloud.com email without an Apple ID, that this sandbox creation process should be ok with the email not existing yet.)