Did you add the code on every header in Click event ?
You can switch on the status bar to see whether the tag is changed.

Also, it works fine in VFP 5 even without any SP installed.
I've tested it with the following code.
The code in the header Click event is "THISFORM.SET_ORDER(1/2/3)".

** FORM.SET_ORDER() ***
LPARAMETER nIndex
WITH THIS.gdTest
.SetAll("ForeColor", RGB(0, 0, 0), "Header")

** reset
.column1.header1.forecolor = RGB(0, 0, 255)
.column2.header1.forecolor = RGB(0, 0, 255)
.column3.header1.forecolor = RGB(0, 0, 255)

SELECT TEST
DO CASE
CASE nIndex = 3
SET ORDER TO TAG3
.column3.header1.forecolor = RGB(255, 0, 0)
CASE nIndex = 2
SET ORDER TO TAG2
.column2.header1.forecolor = RGB(255, 0, 0)
OTHERWISE
SET ORDER TO TAG1
.column1.header1.forecolor = RGB(255, 0, 0)
ENDCASE
.Refresh() **
ENDWITH