This week's book giveaway is in the OCAJP 8 forum. We're giving away four copies of OCA Java SE 8 Programmer I Study Guide and have Edward Finegan & Robert Liguori on-line! See this thread for details.
Because Lists have a concept of element order, while Sets and Maps do not. You can't ask a Set for its third element -- there's no "get(int)" in the Set interface. Without the idea of element order, you obviously can't sort!
TreeSet / TreeMap and LinkedHashSet / LinkedHashMap also have a notion of order, but that order is fixed; the entire internal structure is built for the one specific order. If the order would need to change, so would the internal structure, and you can just as well create a new object.