By default /usr/local/sbin doesn't exist. The folder should be created by installing brew, the owner/permissions are set to $(whoami):admin/775. Most/all folders in /usr/local/ are owned by the user who installed brew - that's part of the default installation and configuration.
On the other hand some third-party tool may have been installed to this folder previously (e.g AFAIR procexp or Smartmontools have to be installed there).
Then the owner/permissions are probably set to root:wheel/755 or root:wheel/775
To solve your problem check whether /usr/local/sbin exists and its folder permissions.
The following command creates this folder if it doesn't exist and makes it world writable, but doesn't change owner:group:
if [ ! -d /usr/local/sbin ]; then sudo mkdir /usr/local/sbin; fi && sudo chmod 777 /usr/local/sbin
Now you can link unbound:
brew link unbound
You may undo the world writable step with:
sudo chmod 775 /usr/local/sbin
Don't forget to add the folder to your user's PATH in ~/.bash_profile or the system's PATH in /etc/paths.
If you get the error:
Error: Could not symlink sbin/unbound
/usr/local/sbin is not writable.
the user doesn't have permissions to write to the folder with the command actually executed.
sudo chown -R $(whoami) /usr/local will change the owner of all subfolders and their content to $(whoami) despite the error
chown: /usr/local: Operation not permitted. The only exception will be a SIP protected item in /usr/local/. By default none of the files and folder is protected though.
Thus the error message is erroneous and you probably already have been successful by entering your
sudo chown -R ... command and you should have tried to simply linked unbound once more.
You can check the folder permissions by entering:
ls -lae /usr/local/sbin
You can get all a protected items in subdirectories of local by entering:
ls -lae -R /usr/local | grep restricted