Whether I use the multiselect option or use the gridComplete to put my own checkboxes in the grid, the sort will remove any values selected in the checkboxes.

It even functions this way in your multiselect demo. (http://www.trirand.com/blog/jqgrid/jqgrid.html then Advanced/Multiselect).

Also it would be nice to have a callback like onSortCol that runs after the sort has taken place (as onSortCol runs before the sort).