All right, thank you for the context! It's much more clear now :-)
I am no sandbox expert, but please follow my reasoning. Sandbox is all about restricting applications from accessing parts of the file system, right? You have already seen dialogs like "App X wants to access your Documents folder - Accept - Deny", right?
Checking "User Selected File" in Xcode applies to files explicitly created by the app, or explicitly selected by the user in an Open dialog box (likely with NSOpenPanel).
It won't let the app access random files on the desktop, unfortunately. A quick Google search leads me to this Stack Overflow answer: macos - Accessing the desktop in a Sandboxed app - Stack Overflow
Reading this, I think you may want to change your strategy for your initial testing. Maybe just jump directly to NSDocument bundles, so that your app does not fight against the system sandbox.
Now this thread is not about GRDB. It is not about SQLite either. It is about macOS file system fundamentals. The system just won't let your app open a file. It does not matter that this is an SQLite file, or that you use GRDB. You could not even deal with plain text files, or jpeg images, do you see?
This forum is no longer the best place to discuss this topic. You'll find better and more focused answers, from more knowledgeable people, on StackOverflow, or the Apple Developer Forums.
The other topic of NSDocument-based applications that use GRDB is not very well discussed online, but you will find some hints with this Github search: Issues · groue/GRDB.swift · GitHub
You are on the right track. And we all know this is a lot of information to learn! MacOS file system is... not quite the same as on iOS. Once this beast has been tamed, you'll be able to use GRDB just as on iOS.