Doesn't work. It only changes the order of the threads displayed, not the order of the posts in each thread. There is no "filters" link in each thread, and in any case, it doesn't "stick" - next time you log in you'll find it has reverted to the default... "Last message - Descending"
In this forum, you go to User CP > Edit Options > Thread Display Options > Thread Display Mode and choose "Linear Newest First" and every thread is sorted as the latest first.
Xenoforo is extremely limited - it has almost no user preferences other than style, timezone, email options and a bunch of notification options, all of which I have unchecked because I don't want to get an email every time someone a forum poster farts, coughs or sneezes.
For mine preferences such as post order, posts per page, and having ignored user posts not appearing are all Forum 101. They basic functionalities that are far more important than crap like Farcebook/Twitter integration or likes, thanks and mentions.