The AllowNaturalSort  property should indicate whether the no-sort state when changing sort order will be allowed.

Workaround:

Private Sub SortChanging(sender As Object, e As Telerik.WinControls.UI.GridViewCollectionChangingEventArgs)
    If e.Action = NotifyCollectionChangedAction.Remove AndAlso e.OldValue = ListSortDirection.Descending Then
        e.Cancel = True
        For Each sd As SortDescriptor In Me.RadGridView1.SortDescriptors
            If sd.PropertyName = e.PropertyName Then
                sd.Direction = ListSortDirection.Ascending
            End If
        Next
    End If
End Sub