The only way to do it at the moment is to Right-Click and untick Show Header.
No header = no option to one-click sort.
But now you have no header which is probably far from ideal. YOu can bodge your way around this problem:
1, Create a parameter that has the Axis header you want to appear and drop that to the left of the Pill on the shelf.
2. Use labels to give the end user an idea of the actual values on the bar/line.