Sig uses thread locked on those screws to keep them from backing out in a very bad place and the gun having to eat them. You can’t really blame Sig for not knowing when to stop and not being able to feel with the wrench was about the slip. That’s user error. The answer to a seized screw or bolt isn’t more torque, contrary to popular belief, because something is going to give.
You’ve gotta use heat, don’t use heat and you’ll strip them. On both of my P365XL’s and my M17’s I used a small torch to heat up the front side of the site and all but one case out without issue. One of the XL’s had a screw that didn’t want to budge even with heat and felt like it was going to strip. I took a punch that fit in the head and gave it a small whack and after that it backed right out.
You’ve got a couple options for repair. Send it back to Sig who will probably fix it for you even though they shouldn’t have to. Pay a gunsmith who knows what they’re doing to extract the screw, or attempt to extract it yourself with proper tools and methods.
If you want to do it yourself and not risk jacking up your slide you’re going to need some tools. For plan A you want to find a slightly oversized hex or torx bit that you can hammer down into the head and will be tight, then heat up the sight, cross your fingers, and pucker your ass and hope it comes out. Plan B is going to require a decent drill press that you can accurately control the depth with or a mill, a quality set of left hand drill bits, and a torch. If you heat the sight up chances are the bolt will start to back out from drilling it some and loosen it enough to still grab a little with a wrench, but if it doesn’t you just drill through the head of the bolt but not into the slide and it will remove the head and pull through. At that point you can use a vise or pliers to grab the stud and extract it.