I’m not sure, but these two things may be part of it:

1. They think being sigma means you’re out of the whole hierarchy. You’re a noble lone sole, above all this alpha and beta stuff (so just lone wolf renamed)
2. In Anime and some other similar media, including some games, the scale is S at top, then A, B, C, D, E, F, etc. S-rank is better than A, and is usually only surpassed by more Ss(SS rank, SSS Rank, etc). Sometimes there’s stuff like U rank etc.