I have a P239 and I do not have that problem. Indeed, on that gun, I have a problem with riding the slide release in my normal shooting grip and having it not lock open at all!
It likely will ease up some with use. I have noticed lately that new SIGs coming straight from the factory just seem generally tight to start with, but mine have done just fine after a good cleaning and a few range trips. (Not a P239 in that group, though; just a couple of P220s...)