This feature has been requested about eleventy-seven million times, either as Saved Search sorting or as Custom Views or something similar, and each thread on the subject seems to contain a bunch of "yeah, this!" replies from users followed by a developer response of "this has been on our to-do list for a long time."
PLEASE implement this change already. I suspect you're not prioritizing it because you think it will merely save users a couple clicks, but I feel you're not appreciating the value of the feature the way that so many users would value it. I have several saved searches I use daily and each has a different intrinsic sorting/grouping/filtering need. A bunch of clicks to resort/filter every time I go between these different "views" has a tremendous impact on the user experience, which is evidently something being felt by many users. Please elevate this feature request to high priority. I know many of us would greatly appreciate it.
And thanks for a wonderful product. I've recruited dozens of new users over the course of the years I've been a loyal user.