GT5 will lighten the wheel under braking if you lock-up the fronts. If you use "power assist" steering, you will often also get a false sense of the steering-wheel lightening as you try to correct quickly for entering a turn too fast (the wheel lightens ANY time you turn it quickly). However, neither of these things is accurate understeer modeling, not even close. Now, the amount of "understeer feedback" you get, in a good sim, should vary by car from the dangerously-dead "I don't know I'm understeering until I hit something!" (Toyota Prius) to the super-tactile "I just lost 1% of my front-end grip!" (Porsche 911). At any rate, even with the most tactile of cars, GT5 never gave ANY real understeer feedback except on full-lockup of the fronts under breaking with ABS off. (The only way you'll probably understand what I'm going on about it to experience it in a real car. In my Porsche, for example, I can tell, by the feel of the steering wheel, exactly what amount of grip is still available to the front tires, even when driving in a straight line if conditions change sufficiently. The wheel is lighter or heavier in my hands depending on speed, tire temperature, road surface, weather conditions, steering angle, etc…) GT4 & 5 didn't do this, period, on any wheel I've used (DFP, G25, G27, Fanatec GTR3(? - the orange one, my previous wheel), Thrustmaster T500 (my current wheel).
I'm very eager to get my copy of GT6 and see if there have been any improvements in this area.