Yeah there's 2 stages. The first stage (pressing button once) only turns off a few controls and is no good for sand. The second stage (pressing and holding the button until the message comes up) turns off the remaining traction control and is much better for off-road / sand use.

The owners manual actually describes both settings pretty well.
Last week at OBX I was testing out all of the settings in the deepest sand I could find. Its night/day difference when you go to stage 2.