Sigma 12-24mmD DG HSM lens issue

I recently shot indoor portraits using natural light, a D700 and the Sigma lens. I shot in raw. Upon conversion to jpg each Sigma shot was vignetted by a circled border. In Raw they look quite normal. I have used this lens many times with the D700 in fine jpg mode with no issues. While the circle effect is exactly the effect I wanted it is very cool and I may keep doing this for the occasional image. So- Does any one know why this happens. I assume that the lens is a digital lens which I did not realize till today and does any body know why this does not happen when shooting in jpg fine