That is correct. The icon on the Dock is just a shortcut link to the folder with limited options. You have to go to the folder itself to have the rest of the functionality. The Dock version is there for convenience to be able to access a download you just made quickly.I did find the sort by date option when I went first to computer. For some reason when I use the downloads icon in my dock, the right click option is gone. Thanks
My point was simply to say that Right Click on the Downloads Folder in the Dock does work (I'm on macOS Mojave in case that makes a difference).
Ian