I've had several SIGs over the years and have one P220 with over 5,000 rounds through it. I have experienced this same feeding problem with new SIGs. It usually goes away after being fully broke in.
If you are loading a topped off magazine into a SIG that already has one in the pipe, make sure the first round is fully seated back in the mag.
See if the faultly magazine experiences the same problem with FMJ ammo.
Disassemble the mags and clean them but don't lube them.
I use a good mag brush and compressed air to clean the mags.
Check that the mag springs are installed correctly.
SIGs have very tight tolerances and are required to be run wet unlike Glocks with loose tolerances and are designed to be run with minimum lubrication.
Have you discussed this over at the SIGforum? http://sigforum.com
A real good SIG gunsmith is: http://www.grayguns.com/