Turns out that I was right. Off-loading to a 240 for Physx doesn't do much for a 480 because the 240 is just too slow.
Otoh, a 275 + 8800 GT makes the 275 faster than a 480 by itself. Without the 8800 for Physx, the 275 is significantly slower than a 480, as expected. So the results are pretty much in line with what I expected, which is that even a 480 can benefit substantially from offloading Physx to another card.