first speed setting is paddling and turns the quickest especially if you still have some speed after coming down from a higher speed. The turning comes from the rear where the paddle is so it's actually more responsive when paddling in reverse.

Second speed will turn a bit slower and if you don't have any wind you won't turn at all since the sails are being used to move the boat.

Third speed turns the least quickest and as second speed if there is no wind you can't turn.