Clicking component inside renderHeader prop for MUI Data Grid Pro changes the sortModel
The MUI X team told me from the Github issue here https://github.com/mui/mui-x/issues/3655#issuecomment-1015263995 that the solution is very simple.
Just add event.stopPropagation() for the onClick prop of each TextField and Select component.
onClick={(event) => event.stopPropagation()}