The reason behind this behavior is called Event Bubbling, also known as one of the event Propagation phases.
Clicking the checkbox event fires up to its parent element (in this case the column header) and also triggers the event called in the parent (the sorting).
A common approach to reduce that bubbling is to use the stopPropagation feature in the child element. That will result in triggering only the desired event from child.
To better illustrate this solution I have created this knowledge base article that also has a simple example with a checkbox in the header template.
I hope you will find the above information useful.
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