In the 2.0 GridGroupingControl, yes multicolumn sorting is supported.
In the GridDataBoundGrid, the default sorting only sorts the single column. If you want multicolumn sorting, you would have to handle it yourself. You would turn off the default sorting with the SortBehavior property. Then handle CellDoubleClick and do the sorting there. To sort, you would get the DataView associated with your datasource (likely some dataTable1.DefaultView), and then set its Sort property to sort the columns you want. It is doable. The sample that ships with 126.96.36.199, Syncfusion\Essential Suite\Grid\Samples\DataBound\DataBoundSortByDisplayMember, does something of this nature, changing the default sorting.