Multi-Select Picklist fields aren't available as to be selected as the sort column in List Views, but the functionality has been requested in the IdeaExchange.
Workaround
In either Salesforce Classic or Salesforce Lightning, create a Custom Formula Field with return type as "Text" (with the formula below) and use the field to sort the list view:
IF(INCLUDES( Multi_Picklist_1__c , "A"), "A", NULL) & ";" & IF(INCLUDES( Multi_Picklist_1__c , "B"), "B", NULL) & ";" & IF(INCLUDES( Multi_Picklist_1__c , "C"), "C", NULL)
Note: If there are several picklists, the formula can exceed the compilation and result in an error.
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