The webpage is undated, a truly annoying habit. However, it does refer to a 2MASS study from 2003, and Steven Majewski and a paper in The Astrophysical Journal. That is almost certainly Majewski, et al., 2003, where they say "The Sun lies within a kiloparsec of that plane and near the path of leading Sgr debris; thus, it is possible that former Sgr stars are near or in the solar neighborhood." That's a far cry from claiming that the sun came from the Sag dwarf. However, see Newburg, et al., 2007, which has been accepted for publication in The Astrophysical Journal. In this paper they say, "We show that the Sagittarius dwarf leading tidal tail does not pass through the solar neighborhood; it misses the Sun by more than 15 kpc, passing through the Galactic plane outside the Solar Circle."

So, I wouldn't get too worked up about the sun coming from some other galaxy; as far as I can tell, nobody said that except maybe the webpage author. Furthermore, there is clearly some debate about where the Sag dwarf tidal tail really goes.

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The point of philosophy is to start with something so simple as not to seem worth stating, and to end with something so paradoxical that no one will believe it. -- Bertrand Russell