'Supposed to be' and 'makes sense' aren't terms I use when talking about baja mode. If sport mode is fun, then baja mode is that one girl at a party pounding strawberritas, doing keg stands, and offering to fight the 6'3" dude. That kind of fun.
Baja will hold gears higher, keeps the turbos spooling for anti-lag purposes, shifts the brake balance forward, and alters the traction control and stability control to give you the best cornering possible. It might be the combo between my tune and exhaust but it will backfire and is overall a hoot to drive. Yes, it shines on dirt and is such a blast to use, but I will sometimes run it on the street in 2WD when I need a smile.
Ever see Split? Baja mode is the Beast. Normal mode is Hedwig.