Noban,
Years ago I was concerned about this very problem in a 225. After I cleaned it thoroughly and replaced the recoil spring, it worked fine. Recheck the locking lug and slide and frame rails. The roughness sounds like it might be a tiny bit of unburnt powder in there. Reclean with a Q tip and some solvent. Relube every contact point. Try a good light grease like Brownells Action Lube. Try working slide again.
How many rounds has it been since you last changed the recoil spring? I look at springs, recoil springs in particular like oil changes in a car. They will work with old oil, but should be changed every 3000 mi. or so depending upon driving style and conditions. Your SIG's spring should be replaced every 1,500 rounds. It won't hurt to do it more often. Use a heavier spring from Trapper or Wolff if you use hot ammo or brass goes over 10ft.
If you ease your slide forward ever so slightly and it doesn't go into battery don't worry about it. As long as its going into battery when you rack the slide and when it goes bang, its OK.
Have fun shooting one of the most finests pistols in history, IMHO.
If you continue having problems with that critter and want to put it to sleep, just give me a holler. I'll be happy to give it a new home.
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"But now, he that hath a purse, let him take it, and likewise his scrip; and he that hath no sword, let him sell his garment, and buy one." -Jesus Christ (Luke 22:36, see John 3:15-18)
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"Reasonable gun law?............There's No such critter!" --EQ
