Provide an option to sort the template column by nested property.
For example:
<dataGrid:DataGridTemplateColumn>
<dataGrid:DataGridTemplateColumn.CellContentTemplate>
<DataTemplate>
<Label Text="{Binding MyAddress.City}" />
</DataTemplate>
</dataGrid:DataGridTemplateColumn.CellContentTemplate>
<dataGrid:DataGridTemplateColumn.SortDescriptor>
<dataGrid:PropertySortDescriptor PropertyName="MyAddress.City" />
</dataGrid:DataGridTemplateColumn.SortDescriptor>
</dataGrid:DataGridTemplateColumn>