The manuals link at the top of the page contains the COBOL Language Reference manual, which says in section 22.214.171.124 on ASCENDING KEY:
The following example illustrates the specification of ASCENDING KEY data items:
05 EMPLOYEE-TABLE OCCURS 100 TIMES
ASCENDING KEY IS WAGE-RATE EMPLOYEE-NO
INDEXED BY A, B.
10 EMPLOYEE-NAME PIC X(20).
10 EMPLOYEE-NO PIC 9(6).
10 WAGE-RATE PIC 9999V99.
10 WEEK-RECORD OCCURS 52 TIMES
ASCENDING KEY IS WEEK-NO INDEXED BY C.
15 WEEK-NO PIC 99.
15 AUTHORIZED-ABSENCES PIC 9.
15 UNAUTHORIZED-ABSENCES PIC 9.
15 LATE-ARRIVALS PIC 9.
The keys for EMPLOYEE-TABLE are subordinate to that entry, and the key for WEEK-RECORD is subordinate to that subordinate entry.
In the preceding example, records in EMPLOYEE-TABLE must be arranged in ascending order of WAGE-RATE, and in ascending order of EMPLOYEE-NO within WAGE-RATE. Records in WEEK-RECORD must be arranged in ascending order of WEEK-NO. If they are not, results of any SEARCH ALL statement are unpredictable.
So the answer to your first question is, no the table must be sorted before loading -- by you -- and must be sorted by secondary key within primary key. The answer to your second question is of course existing searches will be affected if you add another key.