SECOND AND CORRECT ANSWER

Yes, this is a second answer but i found an error in my first answer and feel it's good to have both incidents as it gives this answer context. The answer is from Szerge who posted on Drupal.org, https://www.drupal.org/project/views/issues/1239278#comment-6583454. I have added one more relevant step.

1. create a relationship: Content: Taxonomy terms on node (that was well explained in different posts here : https://www.drupal.org/project/views/issues/1239278#comment-5515924  )
2. display a field with the taxonomy term: (term) Taxonomy term: Rendered Taxonomy term (and not the field containing the taxonomy terms with MULTIPLE FIELD SETTINGS "Display all values in the same row" unchecked !!! -> my mistake in previous answer)
3. sort criteria: (term) Taxonomy term: Name (asc)
4. Lastly, ensure your "Format" format settings for the entire view are grouped in Grouping field Nr.1 according to the taxonomy term: (term) Taxonomy term: Rendered Taxonomy term

The answer is from Szerge who posted on drupal.org. I have added one more relevant step.

1. Create a Content: Taxonomy terms on node relationship (which is well explained in different posts like https://www.drupal.org/project/views/issues/1239278#comment-5515924)
2. Display a field with the taxonomy term: (term) Taxonomy term: Rendered Taxonomy term (and the field containing the taxonomy terms with MULTIPLE FIELD SETTINGS "Display all values in the same row" unchecked)
3. Add the (term) Taxonomy term: Name (asc) sort criteria
4. Lastly, ensure your "Format" format settings for the entire view are grouped in Grouping field Nr.1 according to the taxonomy term: (term) Taxonomy term: Rendered Taxonomy term