If it's brand new, it will not return the MPG you expect. Give it a good few thousand to loosen up, then another good few thousand to bed in and really adjust.
Loads of people with brand new cars report the same MPG problem. GTi's included, mines on nearly 50k (third owner) and in eco I can get it to return about 42mpg, and being really good with it, can see almost 500miles to a tank of fuel (99ron).
The modes do change the car slightly, but only by dulling off the response of things like the throttle pedal, steering becomes less active etc.