All perfect praise be to Allaah, The Lord of the Worlds. I testify that there is none worthy of worship except Allaah, and that Muhammad is His slave and Messenger. We ask Allaah to exalt his mention as well as that of his family and all his companions.
Sa'i is one of the pillars of Hajj. It is an obligation on whoever abandons it whether by ignorance or forgetfulness has to return and perform it, even after leaving Makkah, and he is still considered in the state of Ihraam and should abide by its conditions until he performs Sa'i. Sa'i and Tawaaf (circumambulation around the Ka'bah) are the same regarding the restrictions of Ihraam. The author of Kashshaaf Al-Qinaa' said: 'Sa'i is a pillar of Hajj, and one could not end the second phase of the state of Ihraam (being free from all its restrictions) unless he performs it."
As regards the sexual intercourse that you had with your wife while not knowing the ruling, then you are not sinful because you did not know the ruling, so this does not invalidate your Hajj according to the Shaafi'ee school and according to one of the narrations of Ahmad. This opinion is also the preponderant one according to Shaykh Al-Islam Ibn Taymiyyah.
Imaam An-Nawawi said in Rawdhatut-Taalib: 'If the pilgrim has sexual intercourse with his wife due to not knowing the ruling, forgetfulness, being insane or forced to do it, then this does not invalidate his Hajj and he does not have to offer a sacrifice. However, if you had intercourse deliberately and while knowing the ruling then you are obliged to sacrifice for that without any difference of opinion on this. This applies to you if you came to the end of the first phase of the state of Ihraam having thrown the pebbles and shaved your hair. But if you had not finished the first phase of the stated of Ihraam, and committed some of the prohibitions of Ihraam during this period, then there are some details about it.'
If the restrictions you transgressed pertained to wearing form-fitting clothes, applying perfume or having sexual intercourse; then you are not sinful if you did not know the ruling. But if the violations pertain to cutting hair or nails, then for every prohibition you have to pay a ransom of either observing fast (three days) or giving charity (feeding six poor people) or offering a sacrifice (one sheep).
Allaah knows best.