How to fix the bug in the WeltPixel's «Maxmind Fraud Detection» module which breaks sorting direction in the backend order grid?

To fix the bug, remove the following line from the app/code/WeltPixel/Maxmind/view/adminhtml/ui_component/sales_order_grid.xml file:

<item name="sortable" xsi:type="boolean">false</item>

Then clear the cache.