This option will sort the selected column, and won’t affect any other data. If you want to sort all the rows in your spreadsheet according to the data in the selected column, click Sort sheet by column on the Data menu.

If you select A to Z, cells with lower numeric data will be bumped up to the top of the column, and higher numbers will move to the bottom. If you select Z to A, higher numbers will be up top, and lower numbers will be at the bottom. If you have a header row at the top of your spreadsheet, check the Data has header row box here. This will exclude the top row from sorting.