Usually if you want to sort several columns in a table you can organise the order by sorting all rows in a seqeunce.
For example if I press the column header "#" for track number and then the column header "album" for album I would expect a sorting order "album"-"track number"-random.
Instead HMM seems to allow only one sorting level. In this case the sorting order is "album"-random.
It would help to allow hierarchies of sorting by clicking column headers.
You can sort on multiple columns by holding down shift when pressing a column, is that what you are looking for?
Put it on the on your "how to make stupid users easily happy" list.