I would think that at least the car should hold the steering angle set. My '92 300SE doesn't return to center like other cars I've driven in manuvers like you describe, but it certainly doesn't continue increasing the steering angle towards lock.

I'd have the alignment checked. It is possible to have things out of whack with the alignment that don't cause abnormal tire wear.

Of course, the defensive driving contingent will also argue that you should never, ever let go of the steering wheel.