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Loading UNFIRED brass should be fine, assuming sane loads. The warning is related to previously fired cases.
What happens is that the unsupported section of the case bulges when fired. The bulge is located so close to the extractor groove that the sizing die cannot reach it.
Even if you could iron the bulge back into place, that section of the case would be stressed - like bending a wire back and forth - and it is much weaker there. Firing it again can rupture the bulge, which can wreck the gun and the hand holding it.
I do not know about the Sigma for sure. A call to S&W seems in order to check.
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