How can I get the listbox in a CGXComboBoxWnd cell be sorted?

you should register the combobox as follows with the CBS_SORT flag:

   // CComboBox adapter with CBS_DROPDOWN style
   {
      CGXComboBoxWnd* pWnd = new CGXComboBoxWnd(this);
      pWnd->Create(WS_VSCROLL | CBS_DROPDOWN | CBS_AUTOHSCROLL | CBS_SORT, 0);
      pWnd->m_bFillWithChoiceList = TRUE;
      pWnd->m_bWantArrowKeys = FALSE;
      RegisterControl(GX_IDS_CTRL_CBS_DROPDOWN, pWnd);
   }