Hi Tim,
As far as I know, multi-column sorting is still not supported as an end-user feature in Data Grid 2. Clicking another column replaces the current sort, so Shift + click does not create a cascading sort.
There is a distinction between default sorting and interactive sorting though. For the data source, you can define multiple sort attributes, for example Project ASC followed by StartDate ASC. This gives you a multi-level default sort when the data is loaded.
But if the requirement is to let the user dynamically build something like:
Project ASC → StartDate ASC → Priority DESC
directly by clicking the column headers, DG2 doesn't provide that out of the box at the moment.
I also couldn't find a current Mendix release note/documentation entry confirming that interactive multi-sort is planned for an upcoming release, so I wouldn't rely on a specific future version for this.
If interactive multi-sort is a hard requirement, it would need a custom solution/widget rather than the standard DG2 sorting behavior.
Hope this clarifies the difference.