I know that $\nabla_\sigma g_{\mu\nu}=0$, being $\nabla_\sigma$ the covariant derivative, due to metric compatibility. I've also seen somewhere else that $\nabla_\sigma g=0$ as well, being $g$ the determinant of the metric tensor $g_{\mu\nu}$. Nonetheless, I don't know if the property:
$\nabla\left(S\otimes T\right)=\left(\nabla S\right)\otimes T+S\otimes\left(\nabla T\right)$
Holds in the case of the determinant, and therefore if $\nabla_\sigma\sqrt{g}g_{\mu\nu}=0$ for all values of $g_{\mu\nu}$.