I used to do this in the early 2000s! Some folks back then would ask whether i was afraid that clicking a link (which loads a "new" web page) would slow things down and create an awful experience for users...but, my team and I would really focus on keeping web pages slim/lightweight to begin with...so it rarely was a problem. I don't think we were geniuses or anything like that, but keeping things light (always and from the beginning) enabled us to "cheat" (like this "hack" of the links in the column headers) in ways that were beneficial but with very low risk. Sometimes it took an extra moment or two at the beginning of an effort...but it ALWAYS paid off down the road, and in many different ways.

I want tables that can be sorted on multiple columns without triggering a page refresh on every click.