"Comfort" = The softest and floatiest suspension setting, with easier steering effort. Think of it as the Baby Bear setting. Not as floaty and soft as an old time Town Car, but floatier than "Normal" or "Sport".
"Normal" = The middle ground in suspension and steering assist stiffness. Think of it as the Mama Bear settings. Or as Lincoln describes it in the video...''The Signature Lincoln Driving Feel".
"Sport" = The stiffest suspension setting and stiffest steering assist. Louder synthesized engine noises, possibly altered transmission shift strategy (not sure about that in a Hybrid) Think of it as the Papa Bear setting.
To me the suspension settings only adjust the rebound circuit via the spool valves. Comfort tends to float/bounce more on undulating surfaces. Normal is less floaty, and Sport mode recovers as fast as possible. No real change to the compression circuit so if you hit a bump in the road, it felt the same to me in all 3 modes.
The steering can be adjusted separately, and like what was written above, Comfort/Normal has the most steering assist with Sport being the least for a more "sporty" feel. Tesla has the same settings for its steering.
The fake engine noise is indeed more noticeable in Sport mode.
There is a different Sport mode transmission shift schedule, but Sport mode also activates rev-matched downshifting during hard braking events, and allows you to hold gears. On the 6F55s and 6T70s/6T80s and basically Fords/Chevy's that don't have a sport mode, you can engage the same mode by driving aggressively (braking, turning hard within a time window) to kick in a "Performance Shift" mode. I believe the police cars have this in a different setting as well, but all perform similar functions. The PCM doesn't seem to have the rev-matched downshifting tables, so I am assuming it is part of the Vehicle Dynamics Module (VDM) that has to be edited separately.
Ford and Lincoln shared so much stuff across the CD4 platform (My Fusion factory air dam under the radiator has a huge LINCOLN embossed logo) that I found it funny how Lincoln marketed these features and refused to call the 3.0 the 3.0 EcoBoost to make it exclusive, yet a few years later the 3.0 EcoBoost made its way into the Bronco Raptor, Explorer ST, etc except with a belt-driven oil pump. While the CD4 2.7/3.0 still use chain driven oil pumps.