The matSortActive header gives no indication when being focussed

[Warwizza]

Bug, feature request, or proposal:

When you focus a sort header element in a mat-table which is not the active sort, you get an small indication of the focused element in the form of a light-grey arrow that appears next to the header text. When you focus the active sort header you get no indication whatsoever. No changing color of the arrow or header text, no grey circle like with a radio button, etc.

What is the expected behavior?

Some indication that shows that the active sort header has the focus. Like all other Material components

What is the current behavior?

No indication that shows that the active sort header has the focus.

What are the steps to reproduce?

Open the StackBlitz below and click on a header to make it active and then use the tab key and see that the active header provides no focus indication.

StackBlitz:
https://stackblitz.com/angular/dnblbyvggqyj?file=src%2Fapp%2Ftable-sorting-example.ts

What is the use-case or motivation for changing an existing behavior?

Provide the user with visual feedback on what element in the page has focus. So the user doesn't get lost on the page when using the keyboard.

Which versions of Angular, Material, OS, TypeScript, browsers are affected?

Angular Material: 8.2.3
Browsers: latest versions of Chrome, FF, Edge, IE

Is there anything else we should know?

[angular-automatic-lock-bot]

This issue has been automatically locked due to inactivity.
Please file a new issue if you are encountering a similar or related problem.

Read more about our automatic conversation locking policy.

_{This action has been performed automatically by a bot.}