MainWindow.xaml

<Window xmlns="http://schemas.microsoft.com/winfx/2006/xaml/presentation"
        xmlns:x="http://schemas.microsoft.com/winfx/2006/xaml"
        xmlns:d="http://schemas.microsoft.com/expression/blend/2008"
        xmlns:mc="http://schemas.openxmlformats.org/markup-compatibility/2006"
        xmlns:local="clr-namespace:PropertyGrid_Sorting"
        xmlns:dxprg="http://schemas.devexpress.com/winfx/2008/xaml/propertygrid"
        x:Class="PropertyGrid_Sorting.MainWindow"
        mc:Ignorable="d"
        Title="MainWindow"
        Height="500"
        Width="525">
    <Window.DataContext>
        <local:ViewModel/>
    </Window.DataContext>
    <Grid>
        <dxprg:PropertyGridControl CustomExpand="pGrid_CustomExpand"
                                   SelectedObject="{Binding Data}"
                                   Sort="PropertyGridControl_Sort"
                                   SortMode="Custom" />
    </Grid>
</Window>