They should - entertainment mode utilizes more "software" acceleration for carrying out audio processing, and for playing back a broader audio spectrum as compared to game mode . . . you should also find that audio creation mode should sound very similar to entertainment mode as well.
Game mode puts the card under full hardware acceleration, and combined with the software drivers, it looks for "clues" in the audio calls and within a game engine as to how to play a certain audio file - in regards to it's loudness, occlussion or any other filtering. In general, your run of the mill mp3s, and other compressed audio files don't have any filtering information sent to the driver, so files are played back "as is". Big reason why audio files will sound different in-game, as compared to if you extract them and play them seperately.