OK, here's my 2 cents:
DON'T build up sand to put your pool on, not a good idea...
Is your sidewalk level or not??
If it's level, you could use it as a starting point, otherwise build up on top of it with a good solid sub base and compact well, but not using sand. Burriing the sidewalk is not really an issue unless it was built improper and has tendencies to heave with frost - then you have to remove it.
Use the sand for your cove.
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