Workaround:
public Form1()
{
    InitializeComponent();

    this.radPivotGrid1.GroupDescriptorElementCreating += radPivotGrid1_GroupDescriptorElementCreating;
}

private void radPivotGrid1_GroupDescriptorElementCreating(object sender, Telerik.WinControls.UI.GroupDescriptorElementCreatingEventArgs e)
{
    FieldInfo fi = e.GroupDescriptorElement.GetType().GetField("filterPopup", BindingFlags.Instance | System.Reflection.BindingFlags.NonPublic);
    fi.SetValue(e.GroupDescriptorElement, new MyPivotGroupFilterPopup(e.GroupDescriptorElement) { Visible = false });

    e.GroupDescriptorElement.SortDirectionArrow.Visibility = ElementVisibility.Collapsed;
}

public class MyPivotGroupFilterPopup : PivotGroupFilterPopup
    {
        public MyPivotGroupFilterPopup(PivotGroupDescriptorElement pivotGroupDescriptorElement)
            : base(pivotGroupDescriptorElement)
        { }

        protected override void LoadSettings()
        {
            base.LoadSettings();

            this.Items.Remove(SortAZMenuItem);
            this.Items.Remove(SortZAMenuItem);
            this.Items.Remove(SortOptionsMenuItem);
        }
    }