The "Not Yet Implemented) should be a clue that there's something that's known to be missing from the interface. In this case, that's sorting of alerts.
As for the alert: Is there an actual alert visible? If there is, resolve it. If you've already resolved it but it's still visible, try rebooting the world (I reported a similar issue which has been resolved as "Other" by Microsoft). If there's no alert,
and has never been one, reboot your server.
And file a bug on Connect. :)
I'm not on the WHS team, I just post a lot. :)