The image below is sorted by wool q percent, either ascending or descending, I can't tell. It seems to be prioritizing my previous sort of milk q descending, with the wool not sorted at all. Under milk q 129%, you can see wool q 108%, 103%, and 113%, suggesting no particular order. Even reopening the client (default) does not seem to allow me to sort by wool.
My ideal would be upon sorting a column, the latest sort takes priority, all previous sorts stay the same where they do not conflict with the new command. In theory, this would enable you to, for example, sort by base quality, and breeding quality while the base quality is equal. That functionality doesn't matter as much as being able to sort the columns in the first place though.
