It is normal to illuminate the warning lamp in sport mode It's more like "partial off"
Sport – Dry weather, on-road calibration. Only available
in 4WD High range. Performance based tuning
that provides a rear wheel drive feel but with improved
handling and acceleration over a two-wheel
drive vehicle. The Electronic Stability Control will set
to allow more driver control of vehicle while maintaining
safe handling controls. The vehicle will lower (if
equipped with Air Suspension) to Aero Mode in High
Range. 4WD Low is not available in SPORT mode, if
4WD Low is selected the Selec-Terrain™ will automatically
switch back to AUTO.