Workaround would be to apply the first-column indicator CSS class name in the markup. Then this class name will be inherited by the next column if the first is Hidden.

With the following markup, the rendered results, the "Parent Category ID" column header will have the "first-visible-column" CSS class name set.
<telerik:TreeListBoundColumn DataField="ID" UniqueName="ID" HeaderText="Category ID" Visible="false">
    <HeaderStyle CssClass="first-visible-column" />
</telerik:TreeListBoundColumn>

<telerik:TreeListBoundColumn DataField="ParentID" UniqueName="ParentID" HeaderText="Parent Category ID">
</telerik:TreeListBoundColumn>
OR

If applying in the Code Behind, try using the PreRenderComplete event of the Page.

protected void Page_PreRenderComplete(object sender, EventArgs e)
{
    string firstVisibleColName = RadTreeList1.RenderColumns.Where(x => x.Visible && x.Display).First().UniqueName;

    TreeListHeaderItem headerItem = RadTreeList1.GetItems(TreeListItemType.HeaderItem)[0] as TreeListHeaderItem;
    headerItem[firstVisibleColName].CssClass += " first-visible-column";
}

ADD: Functionality in TreeList to Sorting with Subobjects like this:

<telerik:TreeListBoundColumn DataField="subobject.MyPropertyName" SortExpression="subobject.MyPropertyName"
 HeaderText="MyPropertyName" UniqueName="MyPropertyName"  >
        

Currently there is no client side API to bind data from client side. Please add this feature.