The last few years has seen an explosion of interest in autonomous cyber defence agents based on deep reinforcement learning. Such agents are typically trained in a cyber gym environment, also known as a cyber simulator, at least 32 of which have already been built. Most, if not all cyber gyms provide dense "scaffolded" reward functions which combine many penalties or incentives for a range of (un)desirable states and costly actions. Whilst dense rewards help alleviate the challenge of exploring complex environments, yielding seemingly effective strategies from relatively few environment steps; they are also known to bias the solutions an agent can find, potentially towards suboptimal solutions. Sparse rewards could offer preferable or more effective solutions and have been overlooked by cyber gyms to date. In this work we set out to evaluate whether sparse reward functions might enable training more effective cyber defence agents. Towards this goal we first break down several evaluation limitations in existing work by proposing a ground truth evaluation score that goes beyond the standard RL paradigm used to train and evaluate agents. By adapting a well-established cyber gym to accommodate our methodology and ground truth score, we propose and evaluate two sparse reward mechanisms and compare them with a typical dense reward. Our evaluation considers a range of network sizes, from 2 to 50 nodes, and both reactive and proactive defensive actions. Our results show that sparse rewards, particularly positive reinforcement for an uncompromised network state, enable the training of more effective cyber defence agents. Furthermore, we show that sparse rewards provide more stable training than dense rewards, and that both effectiveness and training stability are robust to a variety of cyber environment considerations.