I've noticed that too but haven't much use for it in my current project.
However, this could be a workaround:
Components > Community Builder > List Management
Create a new user list [e.g.: "Sortable List"]
Select which ACL User Groups to include in the list [e.g.: Public, Registered]
Sort By 'Last Name'
Filter: Last Name 'Is Not Empty', add
Select which user groups have access [e.g.: Super Users]
Column 1 Field: Last Name
Column 2 Field: First Name
Column 3 Field: Title, etc
My site doesn't publish first/last names so it's not going to be easy to test the theory but perhaps this could offer a useful workaround.
I imagine that there are JED components that would offer more advanced back-end sorting but I cannot check right now
Good luck-