Drupal - Default sort order on the other table columns

No, it isn't possible at this point.

There is an issue for that, I suggest you try that out and report back so that it can be commited soon: http://drupal.org/node/109493

You can override it, but probably not the way you would like. tablesort_header is called from within theme_table. I guess the reason why it have been hardcoded like this, is that is's a utility function for a theme function.

You can override theme_table and change the behavior, though I must admit it would have been nicer to have it been determined by a variable.