Yeah, I can see the Sorc Shoes. I'd actually already considered switching from the Tabi. My main concern with Rylai's is the reduction of the effect for multi-target spells (which is W, E, and I believe R as well); I was worried that the 15% slow wouldn't make up for giving up the other things that could be built instead. I mean, if my goal was to catch enemies for the AD or AP to kill, I'd probably grab it.
I deliberately build as less tank more high-damage init + cc, to help with ganking and swinging team fights. It might be different with an organized team, but in low-rank randoms I've found that it's far better to be able to reliably kill enemies than to build a good tank/cc setup and hoping that your teammates won't fumble kills.
I build the following:
Boots of Swiftness + furor/captain
Spirit of the Ancient Golem
Locket of the Iron Solari
[MR]
Banshee's Veil
Abyssal Scepter
[Armor]
Frozen Heart (so much armor)
Randuin's Omen
Warmog's Armor
Obviously I don't build all of the items and adapt to the situation.
I think sunfire cape is a trap item, like Thornmail, as there are much better items to to get armor with. I take Swiftness for the tenacity and almost always get frozen heart and banshee's veil. Games rarely last long enough for me to get a Warmog, and usually if I do get one I'm so tanky I can 1v1 everyone except the adc.
I can see that low level soloQ could use a bruiser-y built sejuani than a tank one. Also, Sejuani really can't duel early on: her damage and tankiness all come from items. If someone's smart enough to invade you early on and keep up the pressure it'll be pretty bad. Thankfully not many are good at counterjungling. :p
Edit: I don't mean to say that thornmail or sunfire are totally worthless in all circumstances, but generally other items are better. Eg, Frozen Heart gives 20% cdr AND armor AND a attack speed slow AND mana. Everything I need all at once.
Neat link comparing the three.
Tldr: Frozen Heart and Randuin are good on Sejuani. Sunfire is good for splitpushers or people who don't scale their damage well with other options & have AoE. Randuin is good everywhere. Thornmail is good when the other team is behind.