VB.NET

Protected Overrides Sub OnInitialized(ByVal e As EventArgs)
  MyBase.OnInitialized(e)

  Dim view As DataGridCollectionView = TryCast(Me.OrdersGrid.ItemsSource, DataGridCollectionView)
  AddHandler (CType(view.SortDescriptions, INotifyCollectionChanged)).CollectionChanged, AddressOf SortCollectionChanged
End Sub

Private Sub SortCollectionChanged(ByVal sender As Object, ByVal e As NotifyCollectionChangedEventArgs)
  Debug.WriteLine("Sort changed")
End Sub

C#

protected override void OnInitialized( EventArgs e )
{
  base.OnInitialized( e );

  DataGridCollectionView view = this.OrdersGrid.ItemsSource as DataGridCollectionView;
  ( ( INotifyCollectionChanged )view.SortDescriptions ).CollectionChanged += new NotifyCollectionChangedEventHandler( this.SortCollectionChanged );
}

private void SortCollectionChanged( object sender, NotifyCollectionChangedEventArgs e )
{
  Debug.WriteLine( "Sort changed" );
}