When using either Jaws or NVDA screen readers with the grid, and the column header is being sorted (it doesn't matter whether ascending or descending), that column name is no longer read by the screen reader. Instead it reads out "sorted ascending (or descending)". I would expect that it should read out the column name and then the sort. For example: "Name sorted ascending". When the column is not sorted, then the column name is read out correctly.
It should also be noted that this happens whether the focus is on the header cell or a regular cell for that column.