Yeah - they're fine with sand. Never seen one bury itself, but it's normal for a Pl*c to make a cave by burrowing under a rock, so you may yet find the missing one. The other weird thing they can do is change colour along their bodies for camoflage - they go "patchy" - and just when you think it's some kind of horrible affliction they'll change back to normal again - my Sailfin does it all the time