Others can elaborate better than me, I'll just note this is absolutely intended. The idea is, the full agent loop runs in the agent sandbox.
The agent loop is captured inside the box, and isolated from other conversations, whether they are runs of the same user or not. I think a big reason for it came from trying to make the cloud deployment work well multi-user, because it must have been tough to run agents from many users in the same space, while making sure resources are available and there are no leaks.
But I think it makes sense anyway, even without that. It allows people to run the agent in whatever host, cloud or local, and interface with a REST/WS agent-server to play with it from a client. Existing clients (CLI app, Web apps), future clients, are just clients to a server, where they play with a conversation, which, at its turn, controls the agent loop.