It turns out the Telerik RadGrid does not support sorting for nullable types (e.g. DateTime?) out of the box. For example, if you use a LINQ datasource for your grid based on a column that is nullable in SQL Server, you will get an error when trying to sort the column "Property [BoundColumnName] does not implement IComparable".
The simplest fix for this is to just make your column non-nullable if this is possible in your business situation.