Sarah's motivations
Although Sarah is outwardly motivated by a desire to devote herself to faith and prayer, she actually has other motivations that the readers are aware of. One of these reasons is to escape the pain caused by her sister's death in childbirth.
Isolation
Although Sarah intends to have complete isolation in her cell, she is still involuntarily connected to the outside world, through her senses and through stories overheard by her maids and people who visit her.
Threats and dangers
Although we might think that Sarah is safer locked up in her cell, the text suggests otherwise. It is revealed that Sister Isabella, a previous anchoress, was actually attacked while in the cell, suggesting it is no safer in there than it is in the outside world.
Suffering
Sarah's escape into her cell to escape Sir Thomas does not work out entirely, as he sets his sights on her servant instead. As such, we see that Sarah's attempt to alleviate her own suffering by devoting herself to God doesn't work out entirely.
Escaping problems
Although Sarah tries to escape her problems, including the death of her sister, she ultimately comes face to face with her issues while inside the cell, as it gives her time to ruminate and think.