That is the whole point. He goes from being a villain to an infestation of something that can no longer rationally think but instead only exists to propogate itself and be a nuisance. This is why, starting with X5, the focus shifts away from Sigma as the villain.
X5: Zero is the virus and may turn evil.
X6: Gate is the bad guy. He just happens to rebuild Sigma.
X7: The bad guy is Red of Red Alert, infected with the Sigma virus. At this point, Sigma becomes less of a threat himself than his viral influence.
X8: Lumine is the bad guy and I'm pretty sure he eradicates what is left of the Sigma virus.
Any titles after X8 will most likely not have anything to do with Sigma at all.
With the Classic series, it's basically:
1-9: Wily has released eight Robot Masters and is planning to take over the world! We can capture him but he always escapes because despite trillions of dollars in damages and probably millions and millions of deaths due to his Robot Rebellions, we have somehow failed to put him to death because everyone on the planet except for Mega Man and possibly Proto Man are incompetent but they can't do it because of the Three Laws noooooooooooooooooooooooooooooooo also Bass!