The box itself is shown ok – only that icon is missing (tiny black triangle). But when looking deeper into it I found in com_jdownloads/views/category/html/default.php the misleading text in line 334:
// Display sort order bar for the Downloads from the current category when it is an old category layout (< 3.9) in my template override. Simply don't believe the last part of this information. So I found at least the places and added the vars listDirn and listOrder to the classes of the span tags, which will allow me to add the desired Icons via CSS. :-), as eg. in sort field "title":
$title = '<span class="jd-list-title '.$listDirn.' '.$listOrder.'" id="ordering2">'.JHtml::_('grid.sort', JText::_('COM_JDOWNLOADS_FE_SORT_ORDER_NAME'), 'title', $listDirn, $listOrder).' | </span>';.