I respectfully disagree.
Selecting the entire worksheet only makes sense if said worksheet contains only one type of data contents.
Therefore the wording "select the range of data to sort" is correct and does not exclude the option of selecting entire sheet when it makes logical sense to do so, and does include multicolumn range selections. So if you have a list of people in col.A, money they owe you in col.B, date due in col.C, of course the range to select must include all the data in those three columns, else sort will mangle the data. Bright spot - UNDO works fine.
tryn2learn, please imagine a worksheet with several data ranges. Perhaps a bunch of little lookup tables for data entry ease in addition to your 'main' data area in a contiguous bunch of cells. Lookup tables are normally referenced by a range of cells, and may even be in hidden columns. Sorting of the entire sheet would totally destroy the design.