It's a checkmate for anyone starting up with MoMo API to realize this for the very first time.

1- No matter how hard you try, Sandbox is a testing environment and therefore will not process real money. Therefore expect no USSD prompts when you make any API calls during your development process. This can only happen when you go live.

Use those responses to simulate what would happen when you go live and design your application to receive and update UI or do things specified by the user basing on whatever responses you get from Server.

2- Your application only talks to the Mobile Wallet system. It's the Mobile Wallet platform to authorize things such as USSD prompts or wire funds to specified payee accounts. This is where your application can be the middle man by passing logic details such as transactionID's, esternalID's ,partyID( payer or payee number).

Anything you want your application to do, work out the logic and send it to the Wallet platform, receive the responses and do whatever specified.

When you know these, the initial confusion is over.

MTN Sanddbox is no different from other sandboxes, you will be only basing the logic on responses.
→ Sandbox is designed to train you on how the real system works.
→ API systems are always trained to respond errors and success
→  this means as Harold has explained, whatever experience you carry from the sandbox never changes with Production, therefore you cannot avoid using the sandbox.

The MTN OPEN API is well designed and supported, but as new developers to API DEVELOPMENT in general, you may find a challange, 
However, the API meets all the standards other APIs have and if you know how APIs work, it is just a cross over.

Do not forget to vote answered so other people looking for the same solution find it easily.

I love this answer because it described my initial confusion.