I want to sort by last modified in Dired, why won’t Denote let me?

Denote does not control how Dired sorts files. I encourage you to read the manpage of the ‘ls’ executable. It will help you in general, while it applies to Emacs as well via Dired. The gist is that you can update the ‘ls’ flags that Dired uses on-the-fly: type ‘C-u M-x dired-sort-toggle-or-edit’ (‘C-u s’ by default) and append ‘--sort=time’ at the prompt. To reverse the order, add the ‘-r’ flag. The user option dired-listing-switches sets your default preference.

For an on-demand sorted and filtered Dired listing of Denote files, use the command denote-sort-dired (Sort files by component).