Are you accessing the Windows app, the Outlook app or within a browser? Are you using the Today view or similar views, or are you within a project? Sorting by priority only works within Projects at this time.
The today view and date based views automatically sort by date then priority.
"Sorting by priority only works within Projects at this time"
This makes no sense non-whatsoever! most people want to open up their inbox and see what has the highest priority for them to work on (even though it is self-prioritized).
Please make this a feature.
If you want to order your tasks by priority within the inbox, please enter the Inbox and use the "p" key. As Brendon mentioned - this applies to all projects.
On date-based views, for each day tasks will be sorted by priority automatically.