It appears the improved functionality in the desktop app that differentiated it from the webplayer has been removed in the current version.
For playlists that have lots of music, it is very useful to be able to sort those playlists.
We look forward to this feature being restored.
Updated on 2020-09-16
We're setting this to Case Closed since the test involving the removal of the Sorting options on the Desktop app ended.
If you're still missing them, also make sure you're not using the Web Player (in place of the Desktop App).