Hi Ken,
Yes, it is possible by setting the tag property to the required header cell. In GDBG, you can set these tag properties only through the Model.QueryCellInfo event handler. One way you can acheive this would be to set a flag in the CellClick event and check this flag in order to enable the sorting icon for the header cell in the Model.QueryCellInfo.
Here is a sample.
Let us know if this helps.
Best Regards,
Madhan.