Sigma reported another issue with some of their lenses when used with the Nikon Df (the previous one was for the Nikon D5300). A new firmware to address the problem will be released shortly. If your Sigma lens is not compatible with the USB dock, you will have to contact your nearest Sigma service center in order to get the update. Here is the full text from Sigma:
We have found that the current firmware of our Nikon fitting interchangeable lenses may not work properly with the Nikon Df camera's OS and Auto Focus functions. This is similar to the phenomena described in "Information Regarding the Nikon D5300 Cameras" that we have announced on November 19th. However, for the Nikon Df cameras, it includes those lenses that do not have an internal AF motor, and the following products will require a firmware update. For those customers who use Sigma lenses in Nikon mount with the Nikon Df camera, we are going to provide a free firmware update. Please note that all the products we dispatch from the factory will have the latest firmware.
Without the latest firmware, the OS and Auto Focus functions do not work properly when it is used with the Nikon Df cameras.
Nikon fitting interchangeable lenses not yet updated for the Nikon D5300 camera.
* It includes the following lenses that do not have an internal AF motor;
1. 8mm F3.5 EX DG CIRCULAR FISHEYE
2. 15mm F2.8 EX DG DIAGONAL FISHEYE
3. 20mm F1.8 EX DG ASPHERICAL RF
4. 24mm F1.8 EX DG ASPHERICAL MACRO
5. 28mm F1.8 EX DG ASPHERICAL MACRO
6. MACRO 50mm F2.8 EX DG
7. MACRO 70mm F2.8 EX DG
* For some discontinued products, we may not be able to offer the firmware update due to the discontinuation of related repair parts. Please contact your nearest authorized Sigma distributor for further details.
* Please refer to the link below for further information on the firmware update for the Nikon D5300: http://www.sigma-photo.co.jp/english/new/new_topic.php?id=402
For those customers in need of the latest firmware, we are going to provide a free firmware update from December 4th. For discontinued products, please contact your nearest authorized Sigma distributor for further details. Also, for lenses that are compatible with the SIGMA USB DOCK, it is possible to update the firmware via SIGMA Optimization Pro.
[Local Service Center]
You can contact your nearest authorized Sigma distributor for the firmware update. Details of your nearest authorized Sigma distributor can be found on the following web page: http://www.sigma-photo.co.jp/english/network/index.html
We are going to put either of the following sticker on all the Nikon lenses that we will dispatch from the factory from now on.