Well. I use rtl-generics for that reason alone. Feel free to add it to the FGL. (there are intermediate solutions). I have to stay Delphi compatible as far as I can, hence rtl-generics.
Note TFPGlist is descended from TFPSList, which does have sort. It also has enumerator support, but less complete.
You need to implement fgl.TFPSListCompareFunc yourself or examine sortbase.pp