Sanchez never tagged out Kackson after dropping the 3rd strike and never tagged him. Fox replayed the reaction of several individual players and it looked like Frazier was pointing and shouting towards the plate (probably trying to tell Sanchez to tag him).
Jackson ran to the dugout. Rule would have allowed him to run to first, probably with no throw since I assume the first baseman was celebrating like everyone else. Could he have left the dugout and run to first?
No. Once Jackson left the batters box without making a move toward first base, he gave himself up. That is the rule.