Group By and Null Sorting
Create an interactive report. Use Actions > Group By. Create a Group by. Then click on a column header. Sort. Select the Null Sorting option as either Nulls Always first or Nulls always last. Find this Null Sort option is ignored.
Nulls sort normal when just using the simple ascending (nulls at the last) or descending (nulls at the top).
Seems like this is a bug in Apex that has never been addressed?