I did some research, and I found that there is a function to set the icon margin. It looks like a margin of 1 pixel is the minimum practical. Even then, there is a 5 pixel (approximately) margin between the icon and the label, but it is much smaller than the default margin.
I could set the margin to 1 pixel for listview and grid controls. It seems unlikely, but I'm worried that someone may have relied on the larger default margin. I may try that in the alpha build and see if anybody complains.
Alternatively, you could use the text label suffix instead of an icon to denote sorting. For example, you could use a simple " v" or " ^" suffix, or get fancy and use "up" and "down" symbols.