Lets clear up terms first:
Tags are used for SELECTION or FILTERING
eg. Show me books that are (tagged) NotRead and are (tagged) Mysteries
SORTING is the order presented (ABCD...12345...)
Clicking a column header causes that column to be sorted in the direction indicated by the arrowhead (click again to reverse)
Sorting can be biased by previous sorts (IIRC the level count is 5).
Sort by Author, then sort by Title and you will see the list of Titles in Author biased order.
Sort by Title, then by Author and you will see the authors works grouped in title order.
Now to your Image
See the number (##) next to the letters? That is a count of how many the COLLAPSED TAG LETTER LEVEL has. Click the arrowhead on the left to expand (BTW this is pretty much standard PC Interface behavior. Arrowheads = more menu levels)
If you click the Letter, you see ALL those that meed the Letter criteria If you EXPAND, you get finer level choices available.
https://manual.calibre-ebook.com/gui.html#search-sort

If you do the same searches frequently,read up on 'Saved Searches", they are handy