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The sorting in project mode sorts projects, not the actions in the projects. If you have multiple projects or lists selected, you'll see that it has ordered the projects by your sort criterion. To see the actions sorted the way you want, focus on your single action list with the Focus button (if you have it in the toolbar), or cmd-ctrl-F, or right-click on it in the sidebar and select Focus from the pop-up menu. Now switch to context mode and your actions will be sorted individually according to how you set the sort filter.

If you wish, you can permanently rearrange the actions in your list to be in sorted order in project mode by selecting them, then using Edit->Sort to sort them. This is essentially the same as dragging them into the desired order by hand. It does not resort the items if you change due dates, add new items, etc.