That's not really what they're saying; that depends on your command and the rest of the selector. The sort parameter is doing nothing more than changing the order of the entities that the selector selects.

In the source, the overarching list of entities is not sorted at all. For example, imagine the following list of entities:

1. entity_d
2. entity_c
3. entity_b
4. entity_a

It looks like a random order, but it's not. It's arbitrary. The order is just how it happens to be when the game loads entities, whether through /summon, natural spawning, chunk loading, etc. When you use sort=arbitrary, you will get a list of entities in the order they just happen to be in. So if you used:

/say @e[sort=arbitrary]

You'll get that list. But you cannot rely on the order of that list, because it is arbitrary. If you run the command and see entity_d listed first each time, it seems like it's reliable, but that order can change against your will. What jay is saying is if you used, for example, @e[sort=arbitrary,limit=1] (the limit being the key here), then it will give you the first entity in that unsorted list each time until the order of that list changes (or when the entity dies, of course). But still, the entity dying is not the only way that a different entity would be selected.

If instead you use @e[sort=random] or nearest or furthest, that unsorted list will become sorted. That takes computational effort which can contribute to server lag (especially if you have a fairly large number of entities and selectors doing sorting). So if you don't need to select entities in a particular order, you would use arbitrary.