Pro tip: You can also just step Siegfrieds CE while watching the intro animation (unless you are on heavily negative frames of course). That should usually give you a better punish than GI'ing.
Sieg's CE was always really really bad. I pretty much don't use it unless it's the kill combo. But even that is a rare situation since I burn meter with him as soon as I get it pretty much.
You can always GI multihit CE's , like siegfrieds or yoshis for example. Just keep in mind that you can never GI the first hit - only the 2nd hit and onward.
