You can't, yet. There's a lot of basic options missing, which is fair given that the developers for jerboa are also the developers for lemmy. There's only so much time in a day.
Hamburger menu>settings>your user settings> default sort (if you're using the play store version you might not have this)
There was an issue, not sure if it's fixed where you needed to also do it on the website and make them match.
The setting you mentioned changes the post sort, not the comment sort. I use the fdroid version.
Oh! I misread I thought it said post. Too early in the morning when I read it the first time. My bad!