The correct answer is 'Testing the new application in an isolated environment'. A sandbox in the context of virtual machines refers to a secure, isolated environment where software can be run without affecting the system it operates on. This is an essential practice for security and testing purposes, hence its relevance to the given scenario. 'Running multiple operating systems simultaneously' and 'Providing remote access to applications' are also capabilities of virtual machines, but they do not specifically pertain to the creation of a secure, isolated test environment for a new application, which is the primary goal in this scenario. 'Deploying the application directly to the cloud' would not address the need to test the application in isolation and could increase security risks if not properly sandboxed.