I drive with it on currently, no matter what drive mode I'm in. But I've also only had the car for a month, so I'm still learning it. Eventually it'll go to MDM for when I'm on some less-populated drives in some areas, otherwise yeah there's no point it having it off for just every-day city driving.
The last "fun" turbo car I had (I don't really count the 340i, because even with BM3 it still felt tame) was my 500awhp VR4. That was AWD though, had a way different set up to the F80, and it was a 90s car so it was a lot more rudimentary compared to this M3. This is my first decent hp modern car, and they're so different feeling so I'm taking my time to learn it