If you've ever parallel parked a car with broken power steering (or just an old car not equipped with it), it's a pretty significant effort to turn the wheels when nearly stationary, so I suppose there's some power savings involved with a heavy, wide-tire Tesla.
But it's not much compared to the power the pack can deliver overall. The difference might be a hundred feet or even a hundred meters of range.
I still think turning off Creep would save more range than setting steering to Sport (personally, I have Creep off and steering set to Sport, not so much for range/power savings, just how i prefer it.)