How do I databind the SortDirection for a DataGridColumn?

The SortDirection is not two-way bindable. It is only used to set an initial sort direction of the column. Later on it is not updatable. The Intellisense comment says

Gets or sets the column initial sort direction.

To get the new value when the sort changes you can use SortChanged callback on an DataGrid level where you will get field name and direction as argument.