This is an old post but it looks like the team at Rekordbox hasn’t addressed it yet. I require this as well as some playlists I have sorted newest music to oldest, others I have sorted by BPM, other’s still I have sorted by Album name, others by Genre. I don’t want to have to keep clicking the columns every time I switch between 2 different playlists.
Maybe it does support it and I am missing the option to enable it.