As per what's mentioned in the following link of the release notes:

• https://confluence.atlassian.com/display/Cloud/28+June+2015+to+4+July+2015

  There is one known issue with the JIRA Issues macro in this update. You won't be able to sort a table of issues by clicking the table headers. If you need to sort a table of JIRA issues, you can edit the macro and change the sorting in the query itself. We'll have this issue fixed as soon as possible.

This bug was raised for customers to have a way to track the issue development.

Workaround
As mentioned above, you can edit the macro and change the sorting in the query itself.