Just as quick heads up everyone, as a few people have said in the thread, this has moved with the newest update Android Pie 9.0.
You now need to head to Contacts > 3 Lines Middle Left > Cog wheel > Sort by.
Will accept this a solution too, so we have it on page one.
Welcome to the Community! :smileyhappy:
The problem still exists on Note 8. Contacts setup does not have an option to sort contacts by Last Name.
This is a serious bug in Samsung Contacts app (One UI 1.0) that has not been addressed for the last two years and still has not been fixed.
It shows that Samsung does not care about its clients.
Shame on you !