So guys thanks for the good IRC chat:)
Basically even if this was implemented, it would be too costly on
resources.
What I needed, was to change my thinking to better fit App Engine. The
good thing is, that if one optimizes for App Engine, then his app will
run faster _everywhere_.
Basically, the best method for being able to show filtered data in a
Grid that can be sorted _and_ paged on any column, one needs to pre-
filter the data (upon created/update/delete) into separate kinds. This
filtered kind then can be sorted on using the default indexes, because
filter was already applied. Also, the data stored in this filtered
kind is not the exact copy of the original data, but rather its string
representation with unique suffixes to support lexicographical
ordering and no-equality-restart pagination.
The advantage of this is also that a much more sophisticated filtering
can be used, not just the built-in query operators.
One has to add logic to support recomputation of the filtered kind if
the filter code or sorting-enabled columns change as the app is
evolving, but that's a one time job and can be reused if done
properly.