Assuming the lens in question will autofocus when using viewfinder based PDAF autofocus or when using Live View directly on the camera, it should also respond to input from the remote Live View window when shooting tethered.
If the Sigma lens you are considering is supposed to autofocus properly when attached to a Canon EOS camera, then it should also respond to AF inputs communicated from a tethered computer via the camera. In both cases the lens is receiving the same instruction from the camera/lens interface, regardless of whether the instruction originated from the tethered computer or from the camera's controls.
Keep in mind that older third party lenses may have firmware issues with newer camera models. Sigma (and Tamron) now have USB docks that can be used to update the firmware of their latest lenses by the end user when needed.