The sort index will not be displayed when applying a custom sorting without adding a SortDescriptor, You can consider implementing Custom Sorting using the IComparable interface instead. As an example please refer to the Custom Sorting with IComparable WPF Demo. Using a generic SortDescriptor would also be an option. 
Please check our online documentation for a further reference: http://docs.telerik.com/devtools/wpf/controls/radgridview/sorting/custom