I don't have a Sigma lens but I am pretty sure the story should be similar to what you have with older Nikon lenses as well.
If I put my old 500 f4G on the Z8 the menu option in the Z8 for switching the VR on or off or change mode between normal / sport is greyed out and thge only thing that happens is that camera is showing whether the VR has been switisched on or off at the lens. In this scenario the camera is not able to distinguish between the VR mode being selected on the lens. It just sees whether it's on or off.
So first of all I would sugesst to try this with your lens and see what the camera does. I can't tell you of the back of my mind, but I think what happens is
- If you put a Z lens WITHOUT integrated VR on the camera, the VR is acting according to the setting via the menu option and the IBIS is set accordingly. This is what I get e.g. with the Z 14-30 and if you switch the VR on you can actually hear the VR system in the camera.
- If you put a Z lens WITH integrated VR on the camera, the VR is also acting according to the setting via the menu option but in this case the IBIS and the lens VR are acting "as a team". The Nikon Z lenses with VR don't have a switch for VR on/off or mode change. That's what I get with e.g. the Z 100-400
- If you put an adapted lens Nikon with integrated VR on the camera that procvides switches for VR on/off and VR mode on the lens itself, the lens switchtes become the master and the menu option in the camera just displays VR on/off but doesn't allow to change anything from there. Because of the behaviour of my 500 f4G with VR switched on it is difficult to hear or feel, whether the IBIS comes on or not, but I wpould expect that it gets activated together with the VR on the lens. At least in my case, if I switch the VR off on ma F-mout lens the IBIS is also off.
Maybe it is a good idea to check whether you can observe similar behaviour with wour 150-600 as I would expect.
If yes you probably need to check for the VR modes your lens provides. More modern Nikon F lenses used to have Normal and Sport, i.e. compatible to the modes in Z8 itself.
In my case my older lens has the mode Normal and Tripod and the Z8 doens't know the Tripod mode.
One more thing, where I am not sure whether you need to be concious about it:
Recently I had my 500 f4G for maintenance and when I picked it up the technician told me, that if I use adapted older lenses with integrated VR like my 500, he strongly recommends to switch the lens VR off before switching off the camera, because otherwise the VR could end up not getting back to its standby position correctly whoch may lead to deadjustment issues.
I don't know whether this is something to worry ybout with Sigma lenses, but at least you can keep an eye on it.
Especially with older lenses and thus older develoment stages of VR system there can be situation where it is better to have the VR switched off in order to get optimal results but this will strongly depend on make and model of the lens. In my case I certainly can confirm to have had occasions where I got sharper images with the VR switched of, especially when working from a tripod.
Apart from all that: Welcome to the club. I also changed to mirrorless starting with a Z8 and it was one of the best decisions ever taken - at least in terms of photography