On Matrix visuals (all visuals), default the sort order to the order the fields are listed in the Visualizations tab.

Visuals are limited by only allow sorting by one column. I can see when clicking on the Visual ellipsis (top right ... of a visual) where it lists the fields that can be sorted on, why it would be difficult for a Microsoft developer to figure out a complex multi column sorting algorithm that is dependent on how a person might click on a combination of those values. A middle ground might to default the sorting in the order of how the fields are listed in the Visualizations tab. If a person wants to change the sort, they can simply rearrange the field order. This might not be a perfect solution but for my purposes which are as complex as many of what I've seen out there, it would function more nicely than the way it does now.