You mean just a regular U-turn, like when you have to go back up the street the other way? I've never heard of breaking a differential that way.
I would think the gears would have to be made of glass or something. Back in high school we used to do doughnuts in the school parking lot with whatever POS car one of us had and we never broke anything... well, almost never. But we sure didn't break anything with a U-turn.