Looks like a bug in Vaadin 8 grid, setting multi-sort using,
grid.setSortOrder(GridSortOrder.asc(countryColumn).thenAsc(nameColumn));
Sorts the contents of the grid correctly, but the corresponding column headers no longer have indicators (small numbers - in superscript font) showing the multi-sort order. This worked correctly in previous Vaadin 7.x.x versions.