Welcome to the Forum @Frederik_Schutyser 
Thank you for reaching out!
As it stands, it is not possible to sort your My Tasks by Teams. As you mentioned it is currently possible to sort it by Project, Due Date and Likes.
I was able to find a thread in the #productfeedback category: Allow to sort tasks by Team in My Tasks. If you haven’t yet, I would recommend you to add your vote and comment to it!
Have a great Friday Frederik! 