I've gotten several warnings for blowing up personal vehicles but they never actually put be in a bad sport lobby.
Same here and most times people post they say the blew up only one car. I've blown up about 10 personal cars just for sh*ts and giggles.
Are we immune to bad sport?
No, it's most likely an invisable meter. Whatever bad stuff you do counts towards that bar being filled with red, but it will go up to green in due time if you're not doing anything bad. Say you detroy a car and get -10 points for that. In 24hrs (real time) you will get +50 points. So, you can do bad sport related stuff, just not too much in a short period of time. I think R* created this system so that you can do some mayhem, but you're not allowed to harass people.
Yes it's GTA and it's a bit wierd but it also makes some sense. Problem is to find some sort of balance. IMO, there should be an option similar to inactive mode but labled "Mayem" or likwise. That would put you in a "Mayhem" lobby similar to bad sport where everything is OK. Create as much carnage as you want to other players, but only people that where willing to do so. In that way, you could play GTAO the way you like it. Whenever you're done with it, enable normal mode and head back to the usual GTAO.