> AFAIU, SecurityManager and ClassLoader could work one with other.

Yes.

> Our ClassLoader knows from where it loaded the classes.
>
> So can't we write a SecurityManager that works with our ClassLoader,
> giving different permissions from classes loaded by sys or user directories?

I guess we could... but I'd prefer not to - if we can define our
requirements using the standard security model, we are more safe
compared to the case where we invent our own security model. If somebody
finds an exploit in our implementation of SecurityManager, it would not
bring us a lot of credibility in the future.

Roman