Just to confirm, you are talking about the DataTables widget published to the appstore by ITVisors correct?
Unfortunately, it appears that default sorting is not available in that widget as it currently stands. That widget does have a published GitHub repository, available here: https://github.com/Itvisors/mendix-DataTables and it looks pretty active. I think your best bet to get this feature added is to create an issue in that GitHub repository and hopefully the owner can take a crack at it.
I assume you are using the DataTables widget for a specific reason, but i do just want to mention that the default DataGrid does have a default sort order opeion as well as sortable columns.