I'm new to the fediverse and as I was looking for new communities to subscribe to, I missed that feature as well. What I found more confusing is that the cursor actually changes to that "click me" finger when hovering over a column title like it would be able to sort. That's why I first thought, it isn't working only for me.

Searching through the github repo I found this issue of three days ago which asks for this feature. OP has given a work around there: You can filter for your instance and sort the communities at https://lemmyverse.net/communities