Sigma 70-300mm F4-5.6 DG Macro DSLR camera lens won't focus when set to Macro mode?

I have a Nikon D5300 camera and got this lens. No matter what I seem to try it just won't focus when set in Macro mode. The box the lens came in says that it is compatible with D5300, Df. So I'm not sure why it's not working. We ordered in a big bundle from Altura Photo off of Amazon. I consider myself an amateur photographer right now so maybe I'm just missing something. Please let me know your insight into this issue.

The lens expects you to be at the closest possible distance to your subject in Macro mode, it is not for general photography. The switch prevents the lens from trying to focus stop to stop, called "hunting" focus.

It should still focus to some extent at that closest distance, at least my similar Tamron 70-300 does. But you have to be at the close end, like 4-6 feet, for it to work. Anything past that is no longer considered Macro (it isn't to begin with, but that's not the question) and you'll have to turn off the switch.

Lenses have a minimum focus distance.
Try this out.
Set the focal length to 200mm and put it in macro mode.
Turn the focus ring to minimum distance (must be in manual focus mode).
Choose a subject and move the camera distance from the object until the object is in focus. This is your minimum focus distance which might be around 3 feet.
Repeat this test for 300mm focal length. Minimum distance may be 8 feet (hard to tell from their specs).

Macro mode works somewhere at minimum focusing distance which could be around 5 feet.

If you read the user manual, you will see that the lens has two modes.

One is a standard zoom lens with a minimum focus distance out to infinity. The minimum distance can be determined by you easily enough.

The other mode is actually a "close focus" mode, NOT really "macro" which I will explain later. This allows the lens to focus closer than the standard minimum focus distance and thus reduces the focus range of the lens, closer to the subject by not at distances further than about 4 or 5 feet.

Those are the limitations of the focusing range of your lens. Your camera is NOT at fault, nor is the lens.

Now about macro lenses.

NO zoom lens can be a true macro lens since a macro lens is a special flat field lens which has NO pincushion or barrel distortion and NO vignetting, even when the lens aperture is wide open. A true macro lens is capable of producing images that have a 1:1, 1:2, 1:3 and 1:4 subject to image ratio.

Your lens can only resolve down to 1:4 subject to image ratio, at the far edge of macro ranges, but worse as a zoom lens, it will show either pincushion or barrel distortion and will show vignetting at lens apertures wide open or one stop down.