I think it would be very helpful to be able to sort a query list by last name or sort key. There are a limited number of fields that are avialable in a query list, and last name or sort key are not options. Name is, but that sorts by the first name, which isn't helpful to me.
Have you asked support about your question. If I'm reading it correctly you should be able to sort by any field and are possibly looking in the wrong place.
Agreed that sort by first name is pretty much useless. My workaround was to change name format that is displayed to our addressee: Last name, first name. Now my query list is alpha.