You sure you switched it on and off? There's a HUGE difference between the two!
Yes I did it a few times, and the 'sport' light came on and off and the steer did get stiffer. Most of the journey was a slow speeds though (stop start mostly), but from the sounds of it that is where the sport mode makes the difference. I'm not too bothered anyway because I thought it was fine without the sport mode. I'm not sure whether I would use the sport mode, but I'd have to experiment with it more.