WordPress core (as expressed by involved people on multiple occasions) strongly discourages sort by terms. It sees terms as exclusively grouping mechanism, with no ordering capabilities implied.
So in your specific case WP would understand that there are different directors, that there are groups of shows done by those directors, but won’t at all understand that there is some expectation of how order of shows can be impacted by directors assigned.
Of course in practical development people do need to sort by terms in different circumstances. In practice this means some very custom SQL to make it happen.
One of the most useful examples of implementation I know is covered by Sortable Taxonomy Columns blog post.
So to make it happen you would have to write/adapt necessary SQL and then incorporate it into your queries.
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