It doesn't mater which mode you chose for break in, the drive train does a lot of "learning" and calibrating the first 500 miles or so. Just pick the one you like, or switch back and forth to experiment.
Sport mode puts the height in areo mode (lower front) for all speeds, normal only drops the front when over 40-50 mph or so.
When sport mode is selected, the computer will bias the drivetrain torque to the rear and disable some of the traction control (not all) so the vehicle will feel more like rear wheel drive than AWD (it will be easier to squeal the rear tires if that turns you on
). It will also be quicker to downshift, and upshift just a tad higher in rpm, so the Jeep will feel more throttle responsive. The modes have no effect on overdrive selection. Selecting Tow/Haul has some effect on overdrive operation.
The choice is strictly your preference, chose the one you like. There is no difference in mpg or wear and tear, there is just not that much difference in operation. Any difference in mpg is attributed to driver behavior, if you feel like driving sporty (less mpg), you will more likely select sport mode.