Thanks. I asked on the DPR Sigma forum and I think I am OK now. I'll paste the main bits:-
Referring to that little icon that you say appears grey (inactive) or blue (valid).
It's pretty simple - every time you press that button when it is enabled, all of your current adjustments will save into the X3F file.
The trick is, that button does not activate until you make changes it recognizes as different from the already saved X3F files. ONLY the top section changes (exposure, fill light, saturation etc. and I think color adjustment) will do that; noise or CA adjustments (for example) will not - even though they do get saved into the X3F file when save is successfully pressed. What I do is make noise changes, then adjust something like saturation one over, save, then you can move saturation back and save again.
Yes that situation is a bug, and a long-standing one - hopefully fixed some day.
One last aspect that may be confusing is that when you re-open an image if the adjustment is set to "custom" or "auto", you need to change the top three-position slider over to "X3F" to see the settings you previously saved for that file. Perhaps that is the point where you do not realize your settings are really there, you just need to move the slider back to X3F.
At this stage you may not have created any tifs or jpgs. To create them you can pick a batch. That will bring up a selection box. You pick the top setting of X3F and not the other settings of auto or custom. This is in the Save As action from the top bar menu.
Having said all that I have to confess I am posting this early in the morning and I have yet to try it again on my studio machine - but it does seem to work on my slow office PC.
I will be back if there are still questions.
Tony