The sort order of the underlying query does have an effect on the output of the data, provided you have not set an overriding condition in the report itself. For instance, take a report with grouping levels consisting of:
Parent Company
____Company
________Employees
Sorting by Parent Company would be redundant in this scenario, as you have already explicitly defined a the first grouping level as Parent Company. However, if you were to send a dataset sorted by either Company or Employees, the effect would be to sort each sub-set within the grouping levels. So the employees for Company A would be in alphabetical order, then Company B and all their employees in alphabetical order etc.