The third image looks like vignetting due to the thick Sing-Ray filter and your step down rings. But strange it's only in one corner - you don't have a hood attached do you? You should be able to see this vignetting through the viewfinder.
Even a normal polarising filter is going to result in uneven skies with wide angle lenses, with the sides often being much darker, due to the wide field of view (light coming from vastly different angles through the filter). With variable ND filters, this effect is multiplied.
The solution is using a longer focal length, if possible, cropping out the sides, or reducing the filter density.
The number of stops you can reduce with these filters goes down as the lens focal length goes down. You might be able to reduce 8 stops at 135mm, but only 5 stops at 20mm.
Your 20mm (effectively 40mm) is close to the 35mm limit they mention. It's a gradual thing, so if it's not recommended at 35mm, it's probably not ideal at 40-45mm and you can expect some vignetting or strange colour casts at the edges, and these will move more to the centre of your images the wider you go.
From their website:
NOTE: Due to the nature of the Vari-ND Filter, its "profile thickness"
is significantly greater than most filters (14.2mm for standard mount,
10.5mm for thin mount). The profile thickness of either version may cause vignetting when used with wide-angle lenses, especially on
cameras with full-frame sensors. Due to the vast number of
combinations of cameras, lenses, and other factors, we can NOT predict
under what circumstances vignetting will occur, and to what degree. We
suggest simply adjusting your focal length, position, and/or
composition to remove the vignetting -- use your digital camera's
display for reference.
NOTE 2: The design of the Vari-ND Filter may introduce irregularities
when used with very wide angle lenses, especially on full-frame
cameras. Adjust your focal length and reduce the filter density
setting until the irregularities disappear