If the data page is sourced from a report definition, then you can directly add the sort in the report column. Else you can add a response data transform. In the DT you can add a sort step on Primary.pxResults directly.
If you want to use obj-sort, then you need an activity. If so then yes you can use obj-sort on .pxResults.
.Is the reference correctly provided in Pages & Classes? Is the data page present in the inheritance path of the activity from where the activity is called from?