Why does the query plan still sort a table despite having an index sorted on the columns?
PostgreSQL thinks the sort merge is faster. And in my hands on 9.1 it actually is faster than walking both indexes. You can try it for yourself by set enable_sort to off; and see what plan it gives, and how long that one takes to run.

Sorting is pretty efficient. Walking indexes is inefficient in 9.1 because it still has to visit the table to make sure the row is actually visible.  Indexes don't store visibility information. 9.2 introduced index-only scans, which gets around part of that problem.

Also, the index leaf pages are not necessarily logical order, so walking the index in logical order can lead to a lot of random IO.  (Of course, checking the table for visibility off of an index scan will as well.)

There have been a lot of improvements made since 9.1.