Thats's actually pretty easy -- you have to explicitly create a collection named all (so that it's handle will be all). This new collection will be shown instead of the default all.
Then you can set a sort order on this collection.
Great. that's what i was looking for. I changed also the name after creating the collection and it still is recognized like "all".
I set it up to "auto" and condition to "price major than €0" so it gets all product which price is bigger than €0