Dear Antonin Audard,
Good day!!
I understand your concern and I would like to like to convey in the Modern experience you can sort only one column at a time in the SharePoint Online List or Microsoft Lists but you create a new standard view in the List, you can apply sorts on two columns:
Open the List> Settings> List Settings> Scroll down to View> Create view> Standard View> Fill the name for the view and enable the options as per your requirement> Save the View.
Reference: Use sorting to modify a SharePoint view
Moreover, you can also use the Group By feature in the SharePoint Online list for grouping the items based on the metadata of the column. Reference: Use grouping to modify a list or library view - Microsoft Support
Appreciate your patience and understanding. Have a good day!!
Best Regards,
Sophia