The fact that objStateModelState/StateModelStateName turned bold shows that that is the problem. And the problem is that you are grouping on field StateModelStateSortOrder and adding a column on field StateModelStateName that you do not specify how to aggregate it.
Solution: Add objStateModelState/StateModelStateName to your group by
from CIS_PersonCase.PersonCase as objPersonCase
inner join CIS_Case.RootCase_StateModelState/CIS_Ref_Common.StateModelState as objStateModelState
group by objStateModelState/StateModelStateSortOrder, objStateModelState/StateModelStateName
select objStateModelState/StateModelStateSortOrder as SortOrder, objStateModelState/StateModelStateName as StateModelStateName, count(objPersonCase/CaseIDCIS)as CaseCount
order by objStateModelState/StateModelStateSortOrder