Many sports cars have at least two performance settings...Mustangs with their Black key and Red keys for instance. How stupid would that be if it didn't change the performance of the engine? And when you do that for more power, you are undoubtedly going to get worse mileage and emissions.
So what does the EPA do? Test the cars in "normal" mode and assume that no one will really ever use the "sport" mode? Reality says almost everyone will be in sport mode all of the time.