Nikon doesn't tell Sigma how their TTL protocol works (and Sigma does not pay to license it). The communication is reverse engineered. Sometimes, the protocol used varies slightly from camera body model to model — and sometimes, that variation means that the guesses Sigma made are out-of-spec and communication breaks. Sometimes, Sigma updates the firmware of their flashes to support new models — but there's no promise that they will.

I assume your flash is the EM-140 DG Macro Flash. The D500 isn't on the current compatibility table, so it's not surprising that it doesn't work. The D7100 isn't either, but it's also really not a surprise that some non-listed models do work by coincidence.

This is unfortunate, but your best bet is to contact Sigma and ask for support. This won't get you immediate response, but if they get enough requests for D500 support, they'll take that seriously. Also unfortunately, the other lesson really is: if you want more than manual control and need confidence that it will work across models, you need to buy on-brand accessories.