When you specify a sort field under Data Source that is a connection to another record, Knack only sorts the records visible on the current page of the table shown. It should sort all of the records, and only show the first page of those sorted results, as with a normal field.
You're right Tim, I've modified the request above. This only happens with a field that is a connection to another object. Thanks.
When I sort tables on my site, it definitely sorts all of the data, not just current results.
e.g. sort the final column on the table on this page (sample clients):
https://www.pestack.com/vendor-profiles
I have a ton of tables with a lot of results all over my app and this has never been an issue for me.
Perhaps you have the table set to restrict the number of results rather than paginate? That would cause the behavior you describe?