The following warning message is displayed when the pex root directory is not writable:

PEXWarning: PEX_ROOT is configured as /Users/<username>/.pex but that path is un-writeable, falling back to a temporary PEX_ROOT of /private/var/folders/cf/z3ktw6dn467gvm24fgx8ft6c0000gp/T/tmp50005su_ which will hurt performance.

I am curious about the reference to the performance being reduced. Is it because artifacts like installed wheels cannot be re-used across pex builds or is it because of something else?

The former. Pex caches as much as it safely can for speed purposes and you lose the benefits.

I am using pex inside a sandbox so i am now setting the pex build root to a directory inside the sandbox.

Aha - gotcha.