I have recently been driving in snow mode and have to say it's either a placebo, or actually makes a diff.
The logic make sense. I may be wrong but I think snow mode limits the amount of fuel going in - it certainly feels like that anyway. However sluggish it might feel when you first use it, once you get used to it it's actually lot better because if you come to overtake a bus or something switch it off and your car comes alive! haha.
Honestly makes fuel go further on motorways if not all the time.