Totally agree. The 'solution' of creating a calculated column and sorting by that (similar with joining using multiple columns) is not really good enough.
There are many very BASIC features that are not supported by Power BI. This is one of them. I don't think we should even have to vote on something this simple and straightforward - it's a feature of Excel.
I have several reports created where it would be nice to sort on multiple columns. For example (1) number of orders decreasing year and month or (2) seqenced by weeks the number of tickets for each department in decreasing volume. Part of this want is that the multi column sort is very flexible in MS Excel
Agreed, this is especially frustrating with the Table visualization (which I think you are referring to), considering that the data sources, if written in SQL, cannot contain an ORDER BY clause. The Power BI support team confirmed that this multi-level sort isn't available at this time in Power BI, but it is an essential need for reports that provide raw data output. SSRS has this out of the box, Power BI should as well. It should work just like Excel, for column data in a table, (i.e. sort by Column B Asc, then Column C Desc, then Column A Asc, etc).