By design, I think if you are sorting like that then it should be displayed like that. You can raise an enhancement request to be able to disable this. Basically I override PrettyName with SortName if you are sorting by SortName and Vice Versa.
Old functionality was that Sort Name was for sorting and Pretty Name for displaying. Otherwise, why have two fields? Just have an option to strip 'The' from show names like the music section. I much prefer to read "The Mighty Boosh" but sorted at M. Otherwise 'The...' gets cluttered.
Just an update on this...I've made an enhancement request on the tracker (#146). I know it is low priority and only cosmetic.
The change in functionality doesn't work throughout the skin. For example, in StreamedMP if Wide Banners or Filmstrip layout is chosen for Series View, the title is shown via skin setting #TVSeries.Title, so in these views the Pretty and Sort names are not overriden.
I can't find a way to skin around this change for list-based views, obviously because the list views are controlled via this inbuilt override of Pretty or Sort name.