I am testing issue JRA-5939 on version 3.3 to see if the sorting has been fixed. It does not appear to have been.
To see the problem, run any filter (say the one called "3.3" for JIRA). The filter default is Key descending. I want to sort by:
1) Component ascending, then 2) Assignee ascending, then 3) Priority descending.
So, first I click on Priority:
Sorted by: Priority ascending, then Key descending
Then I click on Priority again:
Sorted by: Priority descending, then Key descending
Then I click on Assignee:
Sorted by: Assign To ascending, then Priority descending, then Key descending
So far so good...
Then I click on Components:
Sorted by: Component/s ascending, then Priority descending, then Key descending

Whoops... that's not supposed to happen... what happened to my assignee sort?