So, you are saying that the slide isn't locking back on an empty chamber? Or am I reading you wrong?
If it is failing to lock back on an empty chamber during live fire, start with a function test. Make sure pistol is unloaded, insert empty magazine, rack slide back sharply. Is it staying open?
If no, you have some kind of mechanical problem with the pistol. Take it to a gunsmith to have it checked out. I am thinking maybe an improper reassembly of the slide-stop lever or spring.
If it stays locked back every time on the function check, as much as you might not want to hear this, it is something you are doing with your hands when shooting. The slide-stop lever on a SIG is further back and easier to inadvertently hold down than on just about any pistol. Watch, or have a friend watch, to see if your hands are touching the slide-stop lever during live fire - particularly your strong-hand thumb if you are right handed.
Train your self to learn a grip for shooting SIG that doesn't hold the lever down, i.e. lock your strong-hand thumb onto the first joint on your weak-hand thumb. I have been shooting SIGs for years and occasionally I still do it. It can be frustrating.
If it is not a mechanical problem, I wouldn't worry about it too much.