Hi Sean,
Just to confirm, you are talking about the DataTables widget published to the appstore by ITVisors correct?
https://appstore.home.mendix.com/link/app/2702/ITvisors/DataTables
Unfortunately, it appears that default sorting is not available in that widget as it currently stands. That widget does have a published GitHub repository, available here: https://github.com/Itvisors/mendix-DataTables and it looks pretty active. I think your best bet to get this feature added is to create an issue in that GitHub repository and hopefully the owner can take a crack at it.
I assume you are using the DataTables widget for a specific reason, but i do just want to mention that the default DataGrid does have a default sort order opeion as well as sortable columns.