My dad drives an '06 CDI and says he gets better fuel mileage in Comfort mode as well and he finds it more comfortable.
I haven't noticed a big difference in shifting all that much between C and S though, whenever I drive his car.
Fun fact: For the longest time we assumed S stood for "Sport". We couldn't figure out what C meant though, until finally someone decided to leaf through the user manual. We all had an: "oooooohhhhhhh,
that's what it means" moment...
Apparently C is supposed to take off in second gear, so it should be more comfortable in stop&go traffic.