There is a "Sort Name" form in the Artist Profile. If you have trouble finding it, just follow these instructions:

First make sure your left hand content menu is in open. If it's not, click on "View" at the top and click on "Folders Pane".

Now that the content window on the left is open, click on the drop down field and select "Artist". (Please note: DO NOT select "Artist (Overview)" because this will not show any artists that are included only in Various Artists/Compilations that you have included in your collection.)

Next click on the artist's folder that you want to sort by "last/first", Right-click and select "Artist Profile". Clicking on "Properties" also takes you to the "Artist Profile" as well.

Now select the "Display" tab. Right under the "Primary Name" field, you will find the "Sort Name" field.
Also, if you need to sort by "last name first" in the table frame that appears above the album preview frame, you need to right-click on the top column and select "Artist Sort" in the list.