It looks like using sortbycolumns doesn't like you sorting by multiple criteria if you use a bespoke order like you are... Try the below this worked for me on my dataset
Sort(SortByColumns(Filter(myDB, If(IsBlank(myRequestAssignedToMe), Status= "Open" Or Status= "In Progress", User= myRequestAssignedToMe)), "Status", ["In Progress","Open", "Returned", "Fulfilled", "Completed", "Cancelled"]), "DUEDATE", Descending)