I have the Sigma 500 Super.
If you want your shutter to go faster than the x-sync speed (which is 1/200 or 1/250 depending on camera model), you have to set it to FP in the flash unit. If you don't do that the camera will not allow shutter speeds greater than x-sync, except in M mode. FP does reduce the maximum amount of light the flash can put out, but in fill flash mode the flash is rarely operating at max power anyways, so it shouldn't matter.
Shutter speed is a weird concept with flash. If the flash is the main light source, then the exposure is effectively complete in 1/10,000 or less (the duration of the flash itself). If you force a higher shutter speed than x-sync, then you get a prolonged flash burst and you are effectively exposing for MORE time, in spite of the faster shutter. With fill flash, the shutter speed affects the exposure of the background and the flash exposes the foreground, so you have a mix of exposure times.
Because of this, usually the only times I worry about shutter speed with flash are --
1) I want a dark background, so I set a fast shutter speed
2) I want to blur motion, using second curtain sync and a slow shutter speed
in other circumstances, shutter speed doesn't matter so much, as long as it's between 1/60 and 1/250.
Av is an excellent mode. The only downside is that if the background is dark you can find yourself with really long shutter speeds. P mode works as well, while limiting the shutter speed on the downside. If you don't like the f-stop/shutter combination picked out by P mode you can shift the program to get the combination you like.
Flash exposure compensation isn't needed very often, only when you take a shot and find that the main subject isn't exposed properly by the flash. With E-TTL and E-TTL II this is not common (at least not for me). So, using fill flash, ordinary exposure compensation adjusts the background exposure and FEC adjusts the foreground exposure.
Here's a fill flash photo. Without flash the camera tried to correctly expose the face, and blew the exposure on the shoulder, lake and sky. So I used flash. I set the aperature and shutter speed using exposure compensation -1 1/2 stop to avoid blowing the highlights on the shoulder, which left the face really dark without flash. No FEC needed - the camera did a great job metering the flash. Av mode, ISO 200 f-14 1/250 sec, daytime white balance.
hope this helps,
). 
