DFSORT is an optional feature of z/OS and is installed with SMP/E. ICETOOL is included with DFSORT.
If your site has a license for DFSORT, then your System Programmers can either install DFSORT/ICETOOL so it is invoked automatically (the usual thing to do) or so it requires a JOBLIB or STEPLIB. If they install DFSORT/ICETOOL so it is invoked automatically, then you don't need to STEPLIB to it.
SORT are third party tools, they don't come with MVS installation
DFSORT is NOT a third party tool. It is an IBM utility. It actually is shipped with z/OS, but since it's an optional feature, it has to be enabled.
Syncsort is a third party tool.