I just changed my default sort from Hot to New and then back again - so those two values for that option definitely work. If you are using some third-party client to access Lemmy, I cannot say the same for it - perhaps it has a bug? But most places on Lemmy I’ve been have these in their settings and they work - the issue is on your end.
Which is empowering bc you can play around with a bunch of different things and find a way that will work, rather than have to wait on the devs to decide to help or not:-).
e.g. you could bookmark this link: lemmy.world/?dataType=Post&sort=New. Speaking of, perhaps your bookmark to access Lemmy has a similar setting, but for Hot and that is overriding your default choice? Or after you set the default, are you certain that it is saving properly?
Anyway, I hope I gave you some interesting ideas to check up on:-).