Is that a stitched together photo? Is there anything else showing that isn't included in the photo?
This is a bug in Tableau desktop application. I got confirmed from Tableau Support team.
This is definitely not a bug, but rather, a feature of the tool from my perspective. This happens when you have Dimensions on the Columns shelf, and you sort only one column in the view. Essentially, Tableau has to create that "Custom Sort w/ ____ Filtered" because that's the only way it can sort the data within a single column when an author puts dimensions on the columns shelf.
Happy to show more examples to anyone interested, but this has been in the tool for some time and is very helpful. Its also not something you have direct control over -- the option ONLY appears when you use the sort option on an axis, in a view that has multiple columns -- so Tableau has to first filter to that column, then sort. That's what is happening and Tableau adds the text into the dialog so you can be clear on the type of sorting that is occurring.