The sort icon changes in the UI when the sort prop updates (eg. {column1: 'asc'} to {column1: 'desc'}) which indicates that the sort order has updated in a column. When a column is not sorted, it uses the icon cdxIconSortVertical. If the column is sorted, the icons used are either cdxIconUpTriangle or cdxIconDownTriangle depending on the sort order.
There's been internal feedback within Design-System-Team that this experience is jarring. We should reconsider if the icons used for the sorted state can be resized/repositioned to be less jarring, or if new icons are needed specifically for this use case.