Unfortunately, this is something of a side effect due to the fact the sandbox was added in gold but wasn't part of the original game. Originally, the idea was that when you're playing as Macedonia, your special units would regenerate if they were defeated but once you destroyed the special enemy units, those would be gone permanently.
In the sandbox mode, I can definitely see why it would be fun for Sparta to control the Sacred Band since we're not really concerned about historical
For the moment, the only solution I can suggest is to spawn them yourself with the console using the addbrigade command. For example:
addbrigade sacredbandhoplitebrigade -home Thebes
Otherwise, the only real option would be to disable permadeath in the sandbox which obviously has its pros and cons.