If you don't specify anything, what is supposed to happy when you are playing one voice, and the pitch changes? It seems that what sforzando does is turn off the currently sounding region "very quickly", the fades in the new one with what seems to be an attack of about 10 ms.
I know there are very elaborate ways to specify legato behavior, and I have looked at the tutorial (which, frankly, I don't understand). But this defulault behavior seems undocumented.