Core Data Automatic Migration for NSPersistentDocument requires saving in place, which won't work in a sandbox-enabled app (even with Read/Write for user selected files).
The solution is to add the following temporary entitlements:
<?xml version="1.0" encoding="UTF-8"?>
<!DOCTYPE plist PUBLIC "-//Apple//DTD PLIST 1.0//EN" "http://www.apple.com/DTDs/PropertyList-1.0.dtd">
This allows the user to open and seamlessly migrate core data documents anywhere on the system (including mounted volumes).
After getting auto-migration working, log a bug with apple to encourage them to provide a better solution for working with Core Data in sandboxed apps: