We recently came across another set of columns that can't be sorted: the "User Since" and "Last Login Date" columns for Users & Roles within Admin. We were about to do a system cleanup based on these listings (since we have so many users in our instance). But have to go through this list manually instead.
I think the most essential sort would be the "member date" column. It's useless to order that column A-Z or Z-A ... it's a date, you don't need it that way, you need it from most recent and viceversa.