I was able to quickly simulate the behavior using message tags (sort of), and there are probably other ways.

All my message folders use the same view mode, where messages are sorted by creation time. When I click on the Tags column header (twice), messages get sorted in descending order, first by tag, then creation time.

If you don't already use message tags, this could work for you. In Preferences -> Message List -> Message Tags, define, say, a tag called "PIN", and set all others to be ignored. In your view mode settings, set column "Tags" to be visible. To tag a message, click on it's Tags column field and select your tag.

It's not ideal: when you "PIN" tag a message, you need to manually re-sort the list by clicking the Tags column header (twice).

Exactly. Currently, TB, including view modes, only allows sorting to be defined by one column. However, I was able to achieve the double sorting effect the way I described above. It could be a byproduct of the way re-sorting was implemented - keeping the previous order for parts of the list that don't need rearranging according to the new ordering is probably the most efficient approach.