I've never seen or even heard of a .22 conversion for the Sigma, though it would be nice. As for 9mm to .40 or vice versa, they are different frames and slides from what others here have said. I don't think the pieces even interchange. I've never tried it, but other here have. You can guy a .357 Sig barrel, but unless you happen to find a S&W made barrel you'll have a barrel made for Glock and modified to fit the Sigma. Some people don't think too highly of that idea.
In other words, the Sigma is a great gun but if you want a gun that has lots of add ons or is easily modified it's the wrong gun.