Personally I don't see any advantage using SFMC sandbox because I'm just creating DE and list and uploading the data. Hence, I don't have any Sales or community cloud connector involved or creating any package. Having said that, I couldn't find documentation using Marketing Cloud Sandbox. Any suggestion?
Salesforce Marketing cloud does provide sandbox instance but there are limitations in using the sandbox
For example: you cannot integrate your MC sandbox (Marketing Cloud Connector is one of the unsupported features in the system) instance to Salesforce Sales cloud sandbox that is the major draw back as we get all the subscribers data from salesforce
usually companies go for another business unit and use it as sandbox instance to do their development