I have a list of data and some columns have multiple pieces of information (yes not ideal, but there is a lot of data that needs to be shown at once and expandables wont do and the fields are quite long).
The only issue I have with the sorting above the columns is that the user wont know exactly which one it will sort intuitively. But it will sort the bigger (most important information) and ignore the 2nd item under it. So in that sense a drop down for sorting makes sense.
Yet, only a few lists have columns with multiple data, so most screens can use the regular sorting above the column. So for consistancy it might make better sense just to keep these and take the hit that a new user might get a bit confused at first, but once they sort on the screens with columns with 2 pieces of data, they will understand how it works.
What do you think (note the screens were anonymized and have a bit more information than even this).