If you look in the sandbox edit history there seems to be a long chain of edits where the community moderator removes the featured tag, and a trusted moderator replaces it. This is similar to the issue with it being protected. Is it possible to prevent the community moderator from editing the sandbox question? I don't know how feasible this is.
This is a known issue. Really, it makes sense why it would be automatically un-featured every month, because other sites have no need to keep things permanently featured.
At first, I had thought this was on our list of requests, but after checking, it was not. So I went ahead and added an answer to our list of site-specific feature requests, which is a list of things we want for the site, but can't implement without a lot of SE dev work.