Thanks for contacting Syncfusion support.
We have analyzed your query. By using the custom sort comparer, you can achieve the custom sorting in DataGrid. To know more about custom sorting please refer the following link.
However, if you set e.Cancel as true in SortColumnChanging event, DataGrid skip the sorting operation and doesn’t show the Sort Icon in column header.
Please let us know if you require further assistance on this.
Thank you for your update.
Please let us know if you need further assistance.