I took a closer look at the other columns and would agree that the indicator is pointing in the wrong direction. When you hover over the column name the right one is shown, but when you click it the wrong one turns up.
BUT in addition to that, i think string columns (milestone, version, assignee,...) should sort ascending on first click and date and integer columns (votes, created, updated,...) should sort descending on first click. Otherwise you have to click milestone twice to get the normal alphabetical order. (like Windows Explorer in Windows 7 for Name and Filetype in contrast to ChangeDate and Filesize)