The approach for validating the sort order of a RadGrid is the same regardless if it is Templated or not. As far as WebUI is concerned it only can see HTML or Silverlight elements. It cannot see the ASP.NET or XAML that may be running on the server that generates the output that is sent to the browser.
Unfortunately it also a bit complicated and tedious. You have to click the icon to sort the column, then in a coded step read all the values contained in that column and validate their sort order. I have attached a sample test that demonstrates this process that you may use.
the Telerik team