allowUnsort

Sets whether the grid supports column to be unsorted when user clicks multiple times on the column header. The default valuet is true:

$("#grid").shieldGrid({
    dataSource: {
        data: [
            { ID: 1, name: "name1" },
            { ID: 2, name: "name2" }
        ]
    },
    sorting:{
        multiple: true,
        allowUnsort : false
    },
    columns: [
        { field: "ID", title: "Unique Number", format: "{0:c}" },
        { field: "name", title : "Name", width: "300px" }
    ]
});

Live demo of allowUnsort property you can find here: allowUnsort