Sean,
I'll have to ask Stefan whether this is by design.
Allowing Columns setting also makes things work.
If you really want a particular set of settings that disables the Sorting, you can always handle gridDataBoundGrid1_Click or gridDataBoundGrid1_CellClick, and explicitly call the SortColumn method.
private void gridDataBoundGrid1_Click(object sender, System.EventArgs e)
{
int row, col;
this.gridDataBoundGrid1.PointToRowCol(this.gridDataBoundGrid1.PointToClient(Control.MousePosition), out row, out col);
if(row == 0 && col >0)
{
this.gridDataBoundGrid1.SortColumn(col);
}
}