The most efficient way to drive a car (at least an N/A car without many of the fancy things that the N55 has) is to give it full throttle until you get to cruising speed, and short-shift along the way (if it's a manual). High RPMs are bad (eat more fuel), but part-throttle is also bad (less efficient). So you're supposed to give it as much throttle in 1st as you can, but short shift at like 3k, and keep repeating that until you hit cruising speed, and then put it into the highest gear.
This is an interesting Reddit thread that discusses it to some extent.
The problem with Comfort is that it screws around with throttle mapping, so it takes more gas pedal to get the same intake airflow. (Pretty sure the N55 doesn't actually have a throttle butterfly and instead uses valve duration as the "throttle," but you get my point.)
Given all of this, it might make some sense that Sport could actually be more efficient as long as you aren't revving it up the tach much.