Not sure on your mags other than to say that new mags are often quite difficult to load to full capacity due to the new, very strong mag springs. My guess is that you can get that last round in, if you really get after it.
As to the carrying with one in the chamber; the Sigma is designed so that it cannot fire unless the trigger is pulled deliberately all the way to the rear. As long as you always follow proper safe handling rules, then you should never have a ND or UD. The gun itself is perfectly safe to carry with a chambered round. That said, you MUST have a properly fitted holster that covers the trigger guard entirely, and you MUST be absolutely certain that there is nothing in the way that could interfere with the trigger (a loose shirt tail, part of your jacket, etc) when you holster/re-holster the gun. If the trigger is pulled and there is a live round in the chamber, it WILL fire.
I carry one of my Sigma's about 50% of the time, the other 50% I carry my M&P - both with a round in the chamber, always. That said, don't EVER do anything you are not absolutely comfortable with. If you aren't comfortable with the operation of the gun, seek out competent instruction on it's use and before you attempt to carry it.