Sort by Custom Field

I am dumfounded that a record can have custom fields (from Dynamics 365 in this case), and have a view where all other fields are sortable, except the custom fields. I am told by a technician this is expected behavior, and found a 2014 case where it was identified and the "solved" solution was to export to excel and sort there. Crazy stuff and no comment needed. (Solved: Why can't I sort my custom field in the web UI? - Marketing Nation (marketo.com).

This impacts our workflow in identifying records to update without additional steps.