EDIT: Read my follow-up reply first before reading this one. My bad.
Yeah, you also need to right-click on the display fields (the column headers for the main panel) and then click on "Set Display Fields...". Move your Matrix field to the selected fields and put it before Title, then uncheck Track# to remove it completely. So your columns/display fields will be setup as Matrix, Title, Time. Then do the custom sort by "Artist/ Album/ Track#". It'll show Matrix where Track# used to be, but it'll be sorted by the actual Track#, even though that column isn't technically there anymore.
As a side note, you wouldn't need the Matrix for sorting purposes in the custom sort by if you want it sorted by track number. As you have it written, "Matrix" would only affect the sorting if you had something like two track 3's with different Matrices.
Hopefully I've explained this well enough haha.
Basically setting up the displayed fields and setting up the sort order are 2 different steps to get you to the end goal. You want to set up the columns as Matrix, Title, Time; then you want to sort by Artist/ Album/ Track#.