Sepsis is the wrong word, sepsis means blood poisoning. That is impossible with dermaneedling. Skin infection however is always possible with longer needles, however it is exceedingly rare. None of our customers has ever reported it, and we have tens of thousands of customers (we are perhaps the largest dermaroller retailer in the world).
The main cause of it is forgetting to clean the dermaroller after dermarolling. If you allow to sit it for weeks without cleaning and sterilizing first, you'll end up with a festering mess of bacteria.
The immune system can handle the bacteria on your skin very well. It knows them and has antibodies to it. Very superficial infections of such "own body" bacteria are no problem whatsoever for a healthy immune system. That is why it is much more important to clean and sterilize your needling instrument immediately after use, than the "sterlize" the skin. Skin can't really be sterilized anyway, only disinfected, the bacterial load can be reduced. Proper skin disinfection as surgeons practice it involves long scrubbing with soap, multiple rinses, more soap and subsequent use of a disinfecting agent. However, such rigorous disinfection is not really required.
Surgeons know that when you remove the top oil layer from the skin, the sebaceous glands that were "capped" are now exposed and they contain bacteria. So a light wash with soap makes things worse, in terms of bacterial load. But surgeons disinfect to protect people with no immune function from foreign bacteria entering their organs, and that requires wholly different standards of disinfection.