Have you successfully fired the pistol at a range? Does it fire every time?
The reason I ask is that it behaves the same way with or without the firing pin. The pistols I've tried this in have been Ruger P97, 1911s, Browning Hi Powers, and Baby Eagle. I haven't tried it in a Sig.
It could be that the Sig design doesn't have as much pin contact as the others, so the pencil doesn't move as far as it would with other pistols.
Since it behaves the same way with or without a mag, I'm guessing it does not have a mag disconnect installed.
I have a few pistols. Only 2 have a magazine disconnect. None have the type of LCI that sticks out, but instead they have 'sight windows'.
The california law means that new designs not already for sale in California before 2007 have to have it. It doesn't mean older designs are illegal. Heck, look at any 1911 for sale in a gunshop here. None of them have the Mag Disconnect. All of those models have been 'grandfathered' in and are legal.
Go ahead and call Sig for clarification though to find out exactly what is going on. The info in the owners' manual being different from the gun sounds odd, especially if you bought the gun new.
However, I would personally not worry about it unless the pistol isn't firing. I'd just shoot it and enjoy it.