Hi @Nick Sylvester , welcome to Q&A forum!
This is the behavior by defualt.
A SharePoint content type pulls together an item and information about the item. The item might be one of many different kinds of files, a document, an excel workbook, or even a status indicator for a progress report.
A task list is a type of list, it includes task, canlendar.... And yes, in a task list we cannot have a sort set for that view.
See this similar post:
can't create subtask
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A custom list with task content type:
A task list:
Reference:
Introduction to content types and content type publishing
Create and manage a project task list
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