Here is a similar situation in the FAQ at sigsauer.com
The customer service at Sig is excellent, for best info call (603) 772-2302 (press #3 for Customer Service)
Lock back issues can be due to a variety of reasons. I have listed a few for you to check*: Be sure the inside of the magazines are thoroughly cleaned of any grease or lubricant. Be sure the gun has been cleaned and has plenty of lubrication on the slide/frame rails, outside of barrel and the hammer/spring assy. Some guns benefit from a break-in period - give the gun a few hundred rounds to break in and work smoothly. Try different ammunition. If the lower powered ammo is used in a new gun, it may cause feeding, extraction and lock back issues until the springs are broken in. Do all the magazines have the same result? Check your hold to be sure your thumb is not contacting the slide catch lever. A weak hold (“limp wristing”) can result in cycle / lock-back issues Does the slide lock back manually with an empty mag inserted? If so, it is most likely due to one of the tips above. *NOTE: The slide will not lock back on the last round on the Classic .22LR pistols and Conversion Kits.