If one of the modes put more stress or wear and tear on the engine and transmission, I don't think Nissan would have included it for use. You should be more concerned about your driving style and habits, before you worry about a factory/manufacturer provided feature shortening the life of your vehicle.
The car defaults to Normal and provides a balance of sportiness and performance with economy. the modes change things like the A/C cycle time, steering/handling, transmission shift points (fake shift), and engine (response and RPMs).
Check out the owner's manual or the "DMS" section of the factory service manual for more information.
If it’s a cvt stay out of sport mode with regular driving. Puts unnecessary heat into the transmission I think as you don’t really need engine braking in slower traffic.
I never use eco mode other than long distances on the highway, and even then I find I get better economy in normal sometimes. Neither mode will make or break your gas mileage.
Sport mode improves throttle response, so the turbo spools up much more frequently with little speed adjustments. Over the life of the car, I guess it's possible the turbo could wear out sooner. I wouldn't worry about it.