Having "the current directory" in your PATH is a fairly large security hole, so the majority of distros don't put it in there.
Which means that changing to /sbin and running modprobe is not
the same thing as running /sbin/modprobe. In the first case, if /sbin is not in your PATH (and it isn't, unless you do a "su -"), you'll get the "bash: modprobe: command not found" error message, and the second won't fail.
If lsmod (or /sbin/lsmod, if just plaing lsmod doesn't work -- I'm not sure where lsmod normally gets put) reports nvidia, then the nvidia module is loaded. I don't trust any
GUI config tools unless I wrote them (there's no other way to know for SURE what they do and don't work with), but since you do see the logo, your setup is probably working.