This should be fixed in 4.1 -- choose your preferred sorting and 'customize' to save it permanently. It should persist between logins as well as during the session (and you can still sort on other columns without overwriting your default).
Verified fixed in stable build 877.
I believe this is fixed in the expected or most used spots, Overview and Workspaces. Your column choices and your sorting method is saved, just make sure you do the 'customize' -> save changes after you've chosen your sorting order -- I believe that's the key for those of you having trouble still.
Newer areas such as Notifications still don't appear to be adopting this behavior, but I believe they will get added on a later polish update.
I'm still seeing this bug in build 877 in the "Workflow" tab. Any customization I make (AND SAVE) will not show up on next login.
For the record
Jeff@WGM claimed in
CHD-423 that Workflow/Overview are controlled by the system intentionally, and would not maintain a personal sort by preference.
CHD-1129 is the new reference bug for all outstanding instances of list sorting (or columns) not being saved.