My 940 does not have winter mode, and I haven't had my 850 long enough to try it.
I can say that a 940 without winter mode is "exciting" to drive in the snow. Starting off in 3rd gear (winter mode) should help in getting started, but won't help on turns. I've used the same principle (manually) with all my previous cars with very good results. On ice, it was usally good enough to start in second gear in my golf.