Welcome to the A900 Club
As with the A700, when steady shot is on you should see the little bar graph and hand symbol in the viewfinder to show how hard it is working.
I have the same Sigma 24-70 f/2.8 as you, and am reasonably sure Steady shot does work with this lens.
Of course, it will only really make a difference if you are at a shutter speed that is around 1/focal length - so if you set the 24-70 to 50mm, for example, you should notice a difference in shots taken between 1/10 - 1/100 (depending on how steady your hand is), but are unlikely to notice any difference at 1/500.
I must admit that I've not sorted out the micro focus adjust on my A900, but I do know that it works based on the ID the lens reports back to the camera - and Sigma are well known for 'reverse engineering' the lens protocols, rather than licensing them, so copy lens id's from other (Sony or Minolta) lenses - usually of a similar FL, but sometimes you end up with primes reporting they are zooms. This can lead to people with a range of lenses finding that two have the same ID, but I doubt that is the case from the list shown in your sig.