This question arises when one assumes that Lord Shiva (actually Shankara) is married to Sati and Parvati only one time.
Actually same Lord Shiva is married to many Sati and many Parvati just like in cycles.
For eg. He has married with Sati multiple times. Rudra Samhita of Shiva Purana in chapter 14 verse 9 states:
केचद्वदन्ति तां ज्येष्ठां मध्यमां चापरे शिवाम् ।
सर्वानन्तरजां केचित्कल्पभेदात्त्रयं च सत् ।।
Some say that Shivă (Sati) was eldest of them all, some say she was middle one and some wise treat her as youngest of all. All three opinions are correct, because of difference of Kalpa.
Thus same Shiva is married to Sati multiple times. In the similar way he is married to Parvati multiple times. Actually the age of present Parvati is also only 6 months of Brahma. Prabhasa Khanda of Skandha Purana here states:
In this Varaha Kalpa, O goddess, you became Parvati obtained by Himavan through his penance, when the Chakshusha Manvantara has passed off. O beautiful lady, due to the anger of Daksha you had to be separated from me for the duration of a day of Brahma. Your span of life is the period of his six months.
Thus after six months of Brahma, present Parvati also leaves her body and then after certain time she is again born and Lord Shiva marries her again and again and again. So the cycle continues.
Actually Devi Mahatmya describes Parvati before the destruction of Sumbha Nisumbha:
एवं स्तवादियुक्तानां देवानां तत्र पार्वती।
स्नातुमभ्याययौ तोये जाह्नव्या नृपनन्दन॥८४॥
साब्रवीत्तान् सुरान् सुभ्रूर्भवद्भिः स्तूयतेऽत्र का।
The Rishi said, when the deities applauded Parvati, O prince! she went to perform ablution in the water of Janhavi. She asked them, "Whom did you greet there." The resplendent Shiva emanated from her body, and spoke thus to her.
However in the beginning of Devi Mahatmya Markandeya Purana states that it is the story of Sarvanika Manvantara:
सावर्णिः सूर्यतनयो यो मनुः कथ्यतेऽष्टमः।
निशामय तदुत्पत्तिं विस्तराद् गदतो मम॥२॥
Sarvani, the son of Surya (Sun-God) was known to be the eighth Manu. Hear about the details of his birth from me.
And each chapter of Devi Mahatmya End stating:
इति श्रीमार्कण्डेयपुराणे सावर्णिके मन्वन्तरे देवीमाहात्म्ये
Thus ends the Devi Mahatmya of Markandeya Purana of Sarvanika Manvantara.
But Sarvanika Manvantara is Yet to come in this kalpa. The present Manvantara is Vaivasvata and the coming Manvantara of this Kalpa is Sarvanika.
But the Devi Mahatmya is describing Mahisasura Vadh, Sumbha Nisumbha Vadh etc.. in Sarvanika Manvantara. In the present Kalpa this Manvantara is yet to come. So it becomes clear that Devi Mahatmya is narrating events of Sarvanika Manvantara of some past Kalpa.
Thus the Parvati who killed Sumbha Nisumbha in Devi Mahatmya is not the present Parvati who is born in this Kalpa and again married to Lord Shiva.
That Parvati who was present in Sumbha Nisumbha Vadh time became Sati-Parvati-Sati-Parvati... etc.. many times and born as Sati in Pitri Kalpa (previous kalpa). She again born as Parvati in present SvetaVaraha Kalpa.
Actually Parvati after Sumbha Nisumbha Vadh also predicts about her various incarnations of 28th Chaturyuga of Present or Vaivasvata Manvantara:
वैवस्वतेऽन्तरे प्राप्ते अष्टाविंशतिमे युगे।
शुम्भो निशुम्भश्चैवान्यावुत्पत्स्येते महासुरौ॥४१॥
नन्दगोपगृहे जाता यशोदागर्भसम्भवा।
ततस्तौ नाशयिष्यामि विन्ध्याचलनिवासिनी॥४२॥
Devi said, on the twenty-eighth age of Vaivasvata, Sumbha, and Nisumbha, shall be regenerated. I shall reside on the mountain of Vindhya, I shall be born in the race of cowherds in the womb of Yasoda, and destroy them.
She further states:
रक्षांसि भक्षयिष्यामि मुनीनां त्राणकारणात्।
तदा मां मुनयः सर्वे स्तोष्यन्त्यानम्रमूर्तयः॥५१॥
भीमा देवीति विख्यातं तन्मे नाम भविष्यति।
यदारुणाख्यस्त्रैलोक्ये महाबाधां करिष्यति॥५२॥
तदाहं भ्रामरं रूपं कृत्वाऽसंख्येयषट्पदम्।
त्रैलोक्यस्य हितार्थाय वधिष्यामि महासुरम्॥५३॥
भ्रामरीति च मां लोकास्तदा स्तोष्यन्ति सर्वतः।
इत्थं यदा यदा बाधा दानवोत्था भविष्यति॥५४॥
तदा तदावतीर्याहं करिष्याम्यरिसंक्षयम् ॥५५॥
I again shall assume a dreadful form on the mountain Himachala, and devour the giants to protect the sages: all the ascetics will bow and applaud me. I shall be called
Bhima-Devi, when Aruna shall disturb the three world; then I shall turn a roving beettle. I will destroy the great giant for the advantage of these three worlds: all will applaud me by the name of Bramhani in the world. Whenever disturbances shall arise from the demonic forces, then I shall incarnate and destroy the enemies.
As the Yajurveda Maitrayani Samhita 9.4 states:
गिरिसुताय धीमहि तन्नो गौरी प्रचोदयात् ।
May daughter of mountains (Girisuta), Gauri enlighten our intellect.
As events described in Vedas are eternal, so her name also becomes Parvati which means who is daughter of Mountain/ who is pure.
As we are in 51st year of Brahma. More than 50×360 = 18000 Kalpas are already passed. As we know from above description Sati and Parvati have life of few kalpas only. So she reincarnate again and again to marry Shiva. Actually it's needed to sustain the creation because she herself is Adi Shakti.
Who is this Shiva who marries again and again to Sati and Parvati multiple times?
Brahma while praying to Sri Durga in Rudra Samhita of Shiva Purana states:
य पतिस्तव देवेशि ललाटान्मेऽभवत्पुरा ।
शिवो रुद्राख्या योगी स वै कैलासमास्थित ।।
O Goddess of the Devas, Your husband had been born out of my forehead and known as Rudra and is dwelling at Kailash as Shiva.
In the same Rudra Samhita, Lord Vishnu states to Lord Brahma as:
समयं प्राप्य सस्त्रीकावावां ब्रह्मशङ्करः।
अवतीर्णः स्वयं रुद्रनाम कैलाससंश्रयः ।।
After sometime both of us had got the spouses, while Shiva had incarnated as Rudra at Kailash.
Thus, Shiva incarnated as Rudra through forehead of Brahma is the one living in Kailash and known as Shiva. He marries to Sati and Parvati multiple times like cycles of creation-destruction.
So, as there were many Parvati and many Sati, their incarnation are also many. And as per Devi Mahatmya it is Ambika who came from Parvati who killed Sumbha Nisumbha. Parvati was again born as Sati in Pitri kalpa. And her incarnations are established through reputed Shakti Peethas. Sati again born as Parvati in Shewta Varaha Kalpa (Present Kalpa) and she also had many partial incarnations like daughter of Yashoda, Bhramari Devi etc.. Thus each incarnation belong to both Sati and Parvati as they are same and they come as cycles of creation.