Where exactly do you access that?
There is a Sorting tab in the Tag Editor which contains all the sort fields. But it looks like you've seen that already, so I'm not sure what you're asking about. If you don't have custom sorting enabled (which applies sort values for an artist database-wide, when you edit one track), then you have to tag all the files with the same sort value, and then use that sort tag in your sort order before you'll see the effect.
The <Sort Artist> tag. It defaults to "Last Name, First Name" if not manually filled, but if you add your own value, it will change.
MusicBee has no way of determining Last Name and First Name, so this doesn't actually happen automatically. Many databases, like MusicBrainz, will put Last Name, First Name in the Sort Artist, etc, tags, so if your tracks do this maybe it's from a source like that. MusicBee will, however, take into account all values in the Ignore Words field of Sorting/Grouping preferences. And even if nothing is there, I think it will ignore The at the beginning of a field.