This was their reply:
CVP33 - msheri01 is right... The radio has to be programmed... Also, if the Tech II used to program the radio wasn't up to date (see bulletin below) then you won't be able to go into competitive mode...
Competitive Driving Mode Not Displayed after Radio Replacement - kw ABS audio display navigation repair program Stabilitrak SWC TCS TRAC Off #PIC3174 - (Sep 29, 2004)
Competitive Driving Mode Not Displayed after Radio Replacement
The following diagnosis might be helpful if the vehicle exhibits the symptom described in the PI.
Customer or technician may have a concern of "Competitive Driving Mode" display missing after a radio replacement. Current Tech 2 software does not support the CTS-V.
The Technician should contact Techline Customer Support Center at 1-800-828-6860 for an updated Tech 2 calibration until the release of Tech 2 software version 24.007
Please follow this diagnosis process thoroughly and complete each step. If the condition exhibited is resolved without completing every step, the remaining steps do not need to be performed. If these steps do not resolve the condition, please contact GM TAC for further diagnostic assistance.
(2004 2005 Cadillac CTS-V )