On the question of whether Sigurd married a 3rd daughter of Malcolm II, or whether he married Donalda before the death of her first husband, Findlaech in 1020:
1) Project Medlands describes it so:
SIGURD "Digri/the Stout", son of [HLODVIR Torfinnsson Jarl of Orkney & his wife Eithne of Ireland] ([965/70]-killed in battle Clontarf 23 Apr 1014).
m ([1005 or after]) --- of Scotland, daughter of MALCOLM II King of Scotland & his wife ---. Orkneyinga Saga records that “Earl Sigurd” married “the daughter of Malcolm King of Scots” (whose succession is recorded in 1005). Snorre records the marriage of "Sigurd the Thick" and "a daughter of the Scottish king Malcolm". It appears unlikely that Sigurd´s wife could have been King Malcolm´s daughter Donada (as shown in many secondary sources, including the Complete Peerage) if it is correct that Donada´s recorded husband Findlaech was killed in 1020 and that their son was born in .
2) Med Lands' above explanation for the 'daughter of Malcolm not likely to have been taken from her first husband, Findlaech before his death in 1020 is not, in my opinion, a strong argument - given that Findlaech and Sigurd were old adversaries - (Sigurd beating Findlaech at Skidamoor c 995).
- Perhaps Malcolm II's kingship in 1005, made his daughter a greater prize than the beaten enemy of Sigurd warranted.
- It is also possible to conjecture that Sigurd's neutrality or assistance might have been crucial for Malcolm to beat off the Vikings at Nairn and Mortlach in 1009/10 - something Findlaech had failed to do on his own, and Donalda was 'transferred' in that exchange.
Certainly Thorfinn's birth (the sagas tell us he was 5yrs old when Sigurd dies in 1014) coincides perfectly with this timing.
Although, this doesn't prove there wasn't another daughter; secondary sources do put Thorfinn's parents as Donada & Sigurd.