On the Working On tab, team members can set the Grouping to Nothing and then drag and drop work items into the order in which they are working. This doe not impact anyone else's work; it is just that team member's order.
When looking at my team member's "Working On" view, the sort order is a database default sort. I would like to see the priority order my team member set in his/her "My Work, Working On" view. The sort change would provide an at-a-glance view of my team member's priorities. I can then determine if s/he understands his/her priorities and follow-up, if necessary. Right now, I have to ask the team member about their priorities (or, as an administrator, log in as the team member to see the priorities).