The point of it...

Set columns are a bit different from most columns of data because often you will have marked only some members of the Set column. Accordingly, we need to sort so that

othe entries which appear in the Set column come at the top

osorted appropriately

oand the remaining entries get sorted in some default way.

 

Header sort for Set column

This key word list has Set column entries.

 

After sorting by clicking the Set column header (purple arrow), we get  

 

The remaining entries are sorted alphabetically.