Note that they can temporarily change it by clicking one of the things, such as Last Message, on the discussion list. However, that's based on cookies. Once they clear their cookies, it'll reset to the site default.
Not possible, or not currently possible? In other words, is there some technical reason for why an extension could not implement this? I'm configuring xenForo to move to from vB shortly, and this is a feature that I would really need. My board has a "specialty" that we tend to recycle old threads, and so, some threads have been around for fifteen years (no kidding!) and have hundreds of pages of content. Hence it makes sense to have the most recent content accessible when a thread is opened as opposed to needing to always click on "last page".
Or, AFAIK on global basis, either (I'm talking about the descending chronological sorting of the posts in each thread; it's by default ascending, and there's currently no way to alter it). I'm going to need this in order to move my forum from vB to xF; everything else has been taken care of. So it's my intention to look into this really soon (over next couple of weeks). Initially a global admin setting, then a forum-by-forum admin setting, then allow user to override it. If I get ambitious, I may expand it from thread post-sorting to thread sorting as well (thus giving users the option to override).
But if someone else has something suitable available, please let me know (and save me the effort).