I see what you are saying. You can't customize Word's sorting, but you
can construct the document to take advantages of the defaults.

Alternate Approach #1:
I would probably hit shift-enter to insert a line break between the
vocabulary word and the definition.  Then the whole thing remains one
paragraph, and Select All, Table | Sort will only sort by paragraphs.  
Use Format  | Paragraph to set a hanging indent that will indent the
second and further lines.  You won't get the bullet on the
definition--but to be honest, if you have indenting, I don't see why you
also need bullets.  This approach might fall down with multiple definitions.

Alternate Approach #2:
If you were using Heading styles with outline levels instead of bullets,
it is possible in Outline View to set only the major Headings to show,
and then to Sort the Headings.  The Heading would then carry the
subordinate text with them as they were sorted.  More on outline view:
http://word.mvps.org/faqs/formatting/UsingOLView.htm

I would say it depends on your document whether #1 or #2 is better--eg,
#1 might fit a glossary with short translations, but #2 might be better
for an encyclopedia with lots of text under each entry.

That's how I would handle it.  I don't use Word's bullets--it's possible
that they DO assign an Outline level and that the Outline View trick
would work even without using headings.  It's also possible someone else
will come along with a better idea about how to sort the document you
have.  You might experiment with the methods I suggests ON A COPY and
see how you like them.