Of all of my pump shotguns, for HD I prefer the FNH P12. The Winchester SXP shares the operating system, but they have a recall for a slam-fire issue that came out a few months ago. My first shotgun was an 870 Express and it works fine too. I also have a BPS and a Benelli Nova. All work well. There are differences in length of pull and in the distance between your hands, so that is something to check since you do need to cycled the action manually.
Like others have said, for most of them, it is preference and price. However, the SXP and P12 are two that will function the Aguila mini shells (slugs and buck) which are low recoil and increase your capacity in the tube. That might matter to you or not. I have not shot the Stoeger P350, but that is another option that looks pretty good.
The SG is not my first choice for HDm but if I had to pick one, it would be the FNH P12, probably the BPS second and the Nova in third.