Hi @devgeorgio 
It’s a limitation of the current data grid.
You could add icons on your data grid headers and use a workflow to sort the data bound to the data grid:
Bear in mind that “ASC” and “DESC” need to be uppercase.
For now, we recommend building your own custom data grid using inputs inside a table element and adding your own sort icons.
It’s a little time consuming so not ideal. We will fix that as soon as we release components to make more tables available with out of the box functionalities.
Does that make sense?