SigillariaMacrobius in Saturnalia 1.11.46-50 discusses the Sigillaria--a festival that involves the purchase and giving of little human figures and candles. The fact that little figurines were used in this pagan Roman festival is the basis for the claim that Christians stole this idea to make their own Nativity Sets. This festival, Sigillaria, seems to have been a market day rather than a religious feast, but is closely associated with Saturnalia. And there too, the date has nothing to do with the dates chosen by the early Church for Christmas. [full text from Schmid's article]
When was Sigillaria?Macrobius' Saturnalia (1.10.23-24) This is T.C. Schmidt's transcription. [Davies translation (1969)]
 I think that we have now given abundant proof that the festival of the Saturnalia used to be celebrated on only one day, the fourteenth before the Kalends of January, but that it was afterward prolonged to last three days: first, in consequence of the days which Caesar added to the month of December, and then in pursuance of an edict of Augustus which prescribed a series of three rest days for the Saturnalia. The festival therefore begins on the sixteenth day before the Kalends of January and ends on the fourteenth, which used to be the only day of its celebration.5  However, the addition of the feast of the Sigillaria has extended the time of general excitement and religious rejoicing to seven days.What was Sigillaria? Macrobius' Saturnalia 1.11.46-50 [T.C. Schmidt bolds the significant information. [Davies translation (1969)]
I must now deal briefly with the Sigillaria, for I would not have you think that I spoke of a matter calling for a smile rather than reverence.
 Epicadus relates that Hercules after killing Geryon drove his herds in triumph through Italy and from a bridge (now known as the Sublician Bridge), which had been built for the occasion, cast into the river a number of human figures equal to the number of the comrades he had chanced to lose on his journey, his object being to ensure that these figures might be carried by the current to the sea and so, as it were, to restore to their ancestral homes the bodies of the dead.8 This is said to have been the origin of the practice, which has persisted, of including the making of such figures in a religious rite.  In my opinion, however, a truer account of the origin of this practice is that which, I remember, I recently recalled,” namely, that, when the Pelasgians learned, by a happier interpretation of the words, that “heads” meant heads of clay not heads of living men and came to understand that φωτος meant “of a light” as well as “of a man,” they began to kindle wax tapers in honor of Saturn, in preference to their former ritual, and to carry little masks to the chapel of Dis, which adjoins the altar of Saturn, instead of human heads.  Thence arose the traditional custom of sending round wax tapers at the Saturnalia and of making and selling little figures of clay for men to offer to Saturn, on behalf of Dis, as an act of propitiation for themselves and their families.  So it is that the regular use of such articles of trade begins at the Saturnalia and lasts for seven days. These days, in consequence, are only rest days (feriatos), not all of them are festivals. For we have shown that the day in the middle, namely the thirteenth day before the Kalends of January, was a day for legal business; and this has been attested by other statements made by those who have given a fuller account of the arrangement of the year, months, and days, and of the regulation of the calendar by Gaius Caesar.Again, not December 25th nor January 6th. And, the claim is often made that Christians imitated this creation of small figures by creating Nativity Sets.
All art must have begun at Rome.
The Real Source of Nativity Sets? St. Francis of AsisiIt seems most likely that it was St. Francis of Asisi who introduced the Nativity Scene, in about 1223 A.D. Not really a date that had anything to do with ancient Roman history. St. Bonaventure wrote his "The Life of St. Francis of Assisi" in 1260. The event takes place in 1223, we read:
7. Now three years before his death it befell that he was minded, at the town of Greccio, to celebrate the memory of the Birth of the Child Jesus, with all the added solemnity that he might, for the kindling of devotion. That this might not seem an innovation, he sought and obtained license from the Supreme Pontiff, and then made ready a manger, and bade hay, together with an ox and an ass, be brought unto the spot. The Brethren were called together, the folk assembled, the wood echoed with their voices, and that august night was made radiant and solemn with many bright lights, and with tuneful and sonorous praises. The man of God, filled with tender love, stood before the manger, bathed m tears, and overflowing with joy. Solemn Masses were celebrated over the manger, Francis, the Levite of Christ, chanting the Holy Gospel. Then he preached unto the folk standing round of the Birth of the King in poverty, calling Him, when he wished to name Him, the Child of Bethlehem, by reason of his tender love for Him. A certain knight, valorous and true, Messer John of Greccio, who for the love of Christ had left the secular army, and was bound by closest friendship unto the man of God, declared that he beheld a little Child right fair to see sleeping in that manger. Who seemed to be awakened from sleep when the blessed Father Francis embraced Him in both arms. This vision of the devout knight is rendered worthy of belief, not alone through the holiness of him that beheld it, but is also confirmed by the truth that it set forth, and withal proven by the miracles that followed it. For the ensample of Francis, if meditated upon by the world, must needs stir up sluggish hearts unto the faith of Christ, and the hay that was kept back from the manger by the folk proved a marvellous remedy for sick beasts, and a prophylactic against divers other plagues, God magnifying by all means His servant, and making manifest by clear and miraculous portents the efficacy of his holy prayers. (Chapter X.7, p. 110-112)The account here, and even in wider context, has nothing to do with Saturnalia or the Sigillaria. One would be hard pressed, indeed, to demonstrate any documentary historical continuity of practice from the Roman Sigillaria up to the 13th century innovation of St. Francis.
But the readers should be able to see at this point that it doesn't matter what or which Christian tradition is under discussion. Any superficial similarity with any pagan practice will be used as conclusive proof that Christians stole such a practice and therefore Christianity is a hollow shell of a religion.
Bonaventure. The Life of Saint Francis. J.M. Dent, 1904. http://archive.org/details/lifesaintfranci02bonagoog.
T.C. Shmidt “The Dates of Saturnalia (and Sigillaria!) and Christmas | Chronicon Blog,” January 2, 2014. https://web.archive.org/web/20140102144122/http://chronicon.net/blog/christmas/the-dates-of-saturnalia-and-sigillaria-and-christmas/.
Macrobius. Davies: Macrobius Saturnalia. Translated by D. P. Vaughan. First Edition edition. New York: Columbia University Press, 1969.
[this is revised and expanded from my original article on Saturnalia and Sigillaria.]