Sorting whole Protected 2003 REDUX

We are working in Excel

OS Name Microsoft Windows XP Professional
System Manufacturer Dell Inc.
System Model Precision WorkStation T5400
Microsoft Excel version 11.8320.8221 (Excel 2003 of Office Professional
Edition 2003)

We are trying to sort and filter protected cells.

In the Protect dialog, we have currently highlighted Select locked cells,
Select unlocked cells, Sort, and Use AutoFilter before protecting the sheet.

Of course, we have tried many things to make it work.

The problem is, AutoFilter works with the sheet protected, but Sorting does
not.

We have tried both the Sort option in AutoFilter and the Sort available
under the Data menu.

There are a number of questions and excellent answers that cover this
subject, but they do not seem to cover the issue of how Sorting is allowed
when that option is checked before setting the protection. One does assume
that it is allowed, since it is in the protection check list.