I just figured this out. You have to click on the actual arrow in the menu. Clicking on the text next to the arrow doesn’t toggle it, it just closes the menu.
But here’s what’s most confusing… If I got to My Albums and change the sort to by Artist descending (Z → A). Then I click on the sort menu again and click on Sort by Artist again (the text not the arrow) it DOES toggle it back to ASC (A → Z). Which I guess is the default set in sort Settings. So freakin’ confusing.
For my money, the sort default in Settings could be removed and just have the sort menus remember their state (which they do) and clicking on the sort menu items (whether the arrow or the text) does the same thing (ie. toggles it) no matter what.
This doesn’t seem right to me from a UX perspective (and I’m guessing I’m not the only one to be confounded by this), but we’re into the land of opinions and not bugs, so I suppose this can be moved from support to feature requests…