Sorting by lookup column to a virtual entity is unfortunately unavailable due to virtual entities' architecture and design.

For a Virtual Table sorting, the query has been run partially in the Dataverse Database and partially in the external data source, which in this case is a SQL table. As a result, to support this feature, the data is needed to re-order in memory after every retrieve operation.

Please help consider the sorting feature for virtual entity in Dynamics CRM in the future