All is well, you're running the gear appropriately and it appears to be functioning properly.
You're correct in that the SBM-1 "over" lights trigger at roughly -2dB. And you also have it right: the "over" indicators on the Sax and SBM-1 represent two different types of overloads - one in the analog domain, Sax, one in the digital domain, SBM-1. Overloading either is bad news, but you'll be hard pressed to overload the Sax, IME. And occasionally flickering the SBM-1 lights is good, means you're getting nice strong levels - just make sure you don't peg the "over" light too long or you'll clip in the digital domain.
As for the D8's levels...I vaguely recall that the SBM-1 "over" lights are true digital meters while the D8's are analog and therefore not as accurate. Bottom line: use the SBM-1 to set your levels and don't sweat the D8 meters.