The readme in the project was a bit sparse and I spent half the morning figuring out that you have to do the following to get it to work:
1) `gcloud config set project <project_name>`
2) `gcloud auth application-default login`
So unless you happen to have your gcloud authenticated for sandbox-dev environment, terragrunt will fail but gives a fairly vague message about the VPC and not having the correct permissions.
After doing the above steps it worked.