My YWG has a cave. He doesnt sift sand, and he doesnt have a burrow. He's also not paired with a pistol shirmp, so that may be the reason for lack of a burrow. If you're looking for a sand sifting goby, go with the diamond goby or engineer goby as previously mentioned. Those guys will most likely create a mess though. It all depends on what you're looking for.
My hermits, nassarius snails, and conch are always working on the sand though. I would not recommend a sand sifting star as they eventually starve from depleting the sandbed. Stick with snails and hermits IMO.