The feature is used to correct a phenomena where a shift in colour occurs near the edges of an image (i.e. colour shading).
When you are using an L-Mount lens, colour shading is automatically corrected, although you can fine-tune it manually.
The colour shading correction feature is also available with a lens attached using a non-SIGMA mount adaptor, which means you can use the feature when you shoot with an old lens.
You can set colour shading in the “Lens Optical Correction” on the third tab under SHOOT in the menu.