i do not believe the drive handling has any correlation with the fuel economy.
all those three settings you mention do is either loosen or harden the feedback your steering wheel provides while driving. i love sport mode. the steering wheel feels stiffer. with comfort, you can turn the wheel virtually with one finger on the steering wheel.
It changes the throttle mapping to more aggressive maps so you will rev higher but ultimately it is up to you to control the throttle input. I keep it on sport but some days i just baby it (like when I'm carrying cargo or sleeping passengers) and can still get decent mpgs. I just prefer sport because if i decide i want immediate power (e.g. emergencies), I'll get it.