Sigil automatically generates a TOC from the chapter headers, given that you have used the correct tagging for the headers themselves
So, you have to use, eg
for your chapter headers and then you will have a new, shiny ePub file with an embedded TOC
"Split on SGF chapter markers" is used when you have a biiig (x)HTML file with a bunch of chapters in it, and you want to make Sigil automatically split into separate files: you put the markers on the appropriate positions and then you tell Sigil to split it accordingly ... so, it's not anything you need for the epub you're working on right now.