I've got it, and you can tell a difference - sport is really hard and comfort is what I would consider fairly normal in an average car. I think it has improved the longer I've had it, but comfort is still not what I would actually call comfortable - I was expecting something that felt kinda cushy and luxurious. Sport setting doesn't (and to be fair, doesn't claim to) make the car any faster to drive; Top Gear got their fastest time in comfort mode.
The only GTI I drove before buying was a non-DCC version, so it's my own fault for not doing a bit more research, but I have to say it's the least impressive bit of the car for the money.