In this case your FROM Clause is a query expression
where the (query-expression) is an in-line view
According to the documentation
In-Line Views
The FROM clause can itself contain a query-expression that takes an optional table alias. This kind of nested query-expression is called an in-line view. An in-line view is any query-expression that would be valid in a CREATE VIEW statement. ......
Characteristics of in-line views include the following:
An in-line view is not assigned a permanent name, although it can take an alias.
An in-line view can be referred to only in the query in which it is defined. It
cannot be referenced in another query.
You cannot use an ORDER BY clause in an in-line view.....
For more information see
http://support.sas.com/documentation/cdl/en/proc/61895/PDF/default/proc.pdf
To fix the problem change your query to
proc sql;
create table test as
select *
from (select * from sashelp.class) order by sex, age ;
QUIT;