Well, depending on how many lines you are working with, you could

1. remove the bullets, put it in Excel, sort, return to Word and replace the bullets (bullet removal/restoration easy if you use styles);

2. use Word's Outline view and sort the headings manually

Nothing else comes to mind at the moment. The issue is keeping the bullets with their respective headings during the sort. I was trying to think of a way to put each heading and its bullets in a single paragraph and sort that way. I guess you could, if you changed from returns to tabs all the line returns from the end of the heading to the one just before the last bullet of each list, then sorted the paragraphs, then reversed the return-to-tab replacement.

Best,
Ulodesk