Look at the attached movie. I applied new comparator (it is reversed). It was applied, only when I changed sort order.

Application:

import java.util.Comparator;
import javafx.application.Application;
import javafx.beans.property.SimpleStringProperty;
import javafx.beans.value.ObservableValue;
import javafx.event.Event;
import javafx.event.EventHandler;
import javafx.scene.Scene;
import javafx.scene.control.Button;
import javafx.scene.control.TableColumn;
import javafx.scene.control.TableView;
import javafx.scene.layout.VBox;
import javafx.stage.Stage;
import javafx.util.Callback;

public class JavaApplication61 extends Application {

    public static void main(String[] args) {
        launch(args);
    }

    @Override
    public void start(Stage stage) throws Exception {
        VBox vb = new VBox();
        TableView tv = new TableView();
        for (int i = 0; i < 10; i++) {
            tv.getItems().add(new Data("Item-" + String.valueOf(i)));
        }

        final TableColumn tc = new TableColumn();
        tc.setCellValueFactory(new Callback<TableColumn.CellDataFeatures<Data, String>, ObservableValue<String>>() {

            public ObservableValue<String> call(TableColumn.CellDataFeatures<Data, String> p) {
                return new SimpleStringProperty(p.getValue().toString());
            }
        });

        tv.getColumns().add(tc);

        Button b = new Button("set comparator");
        b.setOnAction(new EventHandler() {

            @Override
            public void handle(Event t) {
                tc.setComparator(new Comparator() {

                    @Override
                    public int compare(Object t, Object t1) {
                        return -t.toString().compareTo(t1.toString());
                    }
                });
            }
        });
        vb.getChildren().addAll(tv, b);

        Scene scene = new Scene(vb, 300, 500);
        stage.setScene(scene);
        stage.show();
    }

    private class Data {

        public String data;

        public Data(String data) {
            this.data = data;
        }

        @Override
        public String toString() {
            return data;
        }
    }
}