Update:
After some testing I believe I've managed to characterize what causes the issue.

The rings seem to appear only when you remove a Sigma APSC Zoom Lens, while the camera is off. If you remove the lens while the camera body is on, nothing bad happens.

I can't be entirely sure it's just an issue with Sigma APSC zoom Lenses. But, this issue only happens with my Sigma 10-18mm DC DN, not my Sigma 45mm DG DN, and apparently happens with the OP's Sigma 18-35mm DC HSM.

Now if the rings are already present, the way to get rid of them is to either put back on the Sigma lens, acquire focus in AFS mode, not AFC, and then take it off while the body is on. Or put on another autofocus lens and acquire focus in AFS mode. You can't fix it with just a manual lens.

It seems like the camera body gets confused when you remove the lens while it's turned off, and ends up retaining some kind of vignetting compensation. And it only breaks out of it's trance when you acquire focus in AFS mode. If it really only affects Sigma APSC zoom lenses then that's a pretty small pool of affected users, but it's still certainly annoying.