Any 9mm par will work, I shoot reloads, Rem, Winchester, Fed, Blazer brass, and have used Ali., works O.K. , can't reload it, steel I have never used, pita, not that cheap that I want any.
There is 115 grain FMJ , most common, also 124grain , I like , as well as 145 grain or 147?
heavier weight bullets, can have a effect on accuracy.
But for you new guys , just buy what you can find and shoot/ practice.
After a while you could try different brands, weights, but till you get use to it, no point, unless you have feeling problems, not usual with quality guns.
I have never bought , dealt Sig ammo, I do know that the gun will not know the difference.
These days , it will be a case of what you can find in stock.
If you have feeding problems , it is almost always a mag problem, with cheap, or worn out mags, of bent feed lips.
I never drop a mag on the floor, but I don't shoot speed events.
P.S. I would suggest that you make up a sand bag for a rest to shoot off of for a bit to see where you are shooting. I made one from a pant leg, denim, and sand, grain works as well.
A 9mm can be a bit snappy, a 22 pistol is a good learning gun, I shot more revolver , but my hands are real bad now, and I find it easier