OK, I went home this afternoon at lunch to do some more testing of the Sigma 500 DG Super wireless config and this is what I discovered. I had the same overexposure problem I had last night but when I turned off the flash of the 500 DG, the other flash (420EX in this case) worked fine to illuminate the subject. I could adjust the flash ratio and the 420EX output varied accordingly. But whenever the 500 flash was turned on, I got overexposure. Well, at least I can use the 500 DG as a flashless master like the ST-E2. 
Then I tried something else. The 500 DG flash head zoom was set to Manual 28mm. I switched it manually to 50mm which was the lens I was using and, surprise, surprise, the darn thing worked fine, even with the 500 DG flash turned on. I tried the other zoom settings and the flash still worked fine. Then I put it back to 28mm and ...overexposure! 
Well, at least I know when the problem occurs and how to work around it. I'll see what Sigma has to say about this. Does anybody else experience the same thing when you put the flash head of the 500 DG Super manually (or set automatically when you first turn it on) to 28mm? Just curious.