Sortable table: secondary sort
The initial sorting that you have specified in views is only used on the first page view. When you click on the header to change the sort the query is altered to use the drupal table sort routines instead. Unfortunately there is no support in the built in table sort code to allow multiple column sort, nor the ability to define a default of descending instead of ascending column. An alternative if your table is displaying all results is to add some Javascript that performs table sorts on the HTML and not provide sorting on the columns in Views. A google.com search for "javascript table sort" will give many results, this one looks to be quite robust: http://tablesorter.com/docs/