Tibor Karaszi puts columnstore ducks in a row:
Data for a columnstore index is divded in groups of approximate 1 million rows, rowgroups. Each rowgroup has a set of pages for each column. The set of pages for a column in a rowgroup is called a segment. SQL Server has meta-data for the lowest and highest value for a segment. There are no SEEKs in a columnstore index. But, SQL Server can use this meta-data to skip reading segments, with the knowledge that “this segment cannot contain any data that I need based on my predicates in my WHERE clause”.
Also, you might want to do these operations using MAXDOP 1, so we don’t have several threads muddling our neat segment alignment.
I’m not sure I actually set the ORDER BY clause on columnstore indexes all that often—a quick mental survey says maybe once, though that could be my own failing rather than a statement on the utility of ordered columnstore indexes.