I assume you have a sand filter if so you most likely have broken laterals in your filter. A lateral should allow water through but not sand. if you have a DE filter and you are getting what appears like sand in the pool, you have one or more of the filter grids that have holes and the DE is passing through the filter grids back to the pool.
Possibly because it is set on circulate and not on filter or if you have a cartridge filter the cartridge is damaged. Worn laterals in the sand filter can also cause sand to blow back into the pool.
Into your filter
Yes. That is how the dirt is removed.
If this dirt lines up with the pool returns then you may have worn or broken filter problems.
You have one or more bad filter elements inside the filter. The filter needs to be serviced .
Well if dirt comes out then you should clean off your feet before you get in,becouse your fet carry it in the pool then when the filter sucks up the dirt then the filter gets too much dirt in it and spits it out and you should proble clean the filter out once a month!
Filter fitted back-to-front?
IT is possible that you have a damaged cartridge in a cartridge filter or the sand filter is not set on filter when you vacuum or the laterals in the sand filter are worn and it is blowing sand back into the pool.
If you have a sand filter the laterals in it may be starting to show signs of wear these wil blow sand from the sand filter into the pool when they wear out.
Check to see if filter has a hole or manifold is cracked.
There wont be any dirt under the sand. When you vacuum your pool you should do it on filter mode Otherwise you will lose a lot of water for nothing, this would be especially wasteful in the case of a salt water pool. Ofter having vacuumed the pool on filter mode and if the pressure gets too high backwash. after backwash rinse for a minute, then return to filter.