I gotta dash, but since I put time into this, here is my half-baked answer:
So your issue is only happening during development (yarn start). Sage uses Webpack for it’s development build/watch process. A feature of Webpack is called Hot Module Replacement, which “exchanges, adds, or removes modules while an application is running, without a full reload.” Your styles are considered to be a module. So when it detects a change, it will get the new styles. However, it doesn’t compile a new stylesheet.
The 404 error is expected when HMR is running. This is where the “styles” that HMR is injecting are:
Perhaps, the best way to understand this is to simply obeserve it in action. Run yarn start, open up dev tools and watch what is happening to the stylesheet reference at the end of the head and the hot updates in the network tab when you make a change to the stylesheets.