The Time Complexity only tells you, how the approach will scale with (significantly) larger input. It doesn’t tell you which approach is faster.
It’s perfectly possible that a solution is faster for small input sizes (string lengths and/or array length) but scales badly for larger sizes, due to its Time Complexity. But it’s even possible that you never encounter the point where an algorithm with a better Time Complexity becomes faster, when natural limits to the input sizes prevent it.
You didn’t show the code of your approaches, but it’s likely that your first approach calls a method like toCharArray() on the strings, followed by Arrays.sort(char[]). This implies that sort operates on primitive data.
In contrast, when your second approach uses a HashMap<Character,Integer> to record frequencies, it will be subject to boxing overhead, for the characters and the counts, and also use a significantly larger data structure that needs to be processed.
So it’s not surprising that the hash approach is slower for small strings and arrays, as it has a significantly larger fixed overhead and also a size dependent (O(n)) overhead.
So first approach had to suffer from the O(n log n) time complexity significantly to turn this result. But this won’t happen. That time complexity is a worst case of sorting in general. As explained in this answer, the algorithms specified in the documentation of Arrays.sort should not be taken for granted. When you call Arrays.sort(char[]) and the array size crosses a certain threshold, the implementation will turn to Counting Sort with an O(n) time complexity (but use more memory temporarily).
So even with large strings, you won’t suffer from a worse time complexity. In fact, the Counting Sort shares similarities with the frequency map, but usually is more efficient, as it avoids the boxing overhead, using an int[] array instead of a HashMap<Character,Integer>.