You can sort vectors and lists but I'm not sure if you can sort matrix by specific column. But you can always convert that matrix to private table, sort it and get it back into matrix.
Names Default To Here(1);
dt = Open("$SAMPLE_DATA/Big Class.jmp");
ar = dt << GetAsMatrix({2, 4});
dt_m = As Table(ar, <<private);
dt_m << Sort(By(1), Order(Descending), Replace Table);
ar1 = dt_m[0,0];
Close(dt_m, no save);
show(ar, ar1);
-Jarmo