It seems there is a basic problem here in that you are trying to get this to work with a post type archive rather than on a static page.
With an archive WordPress runs a query to get the posts to show on that archive.
If you use Views to customise the archive it will modify that WordPress query before it is run, according to the settings for your custom archive, include the addition of custom filters.
But it still runs that main query and uses it to generate the list of posts which are then output according to the loop section of your custom archive.
You could order the results alphabetically, but you cannot group them alphabetically so that you can have separate sections for each letter as is the case on the page you reference: enlace oculto
(They do on that page, but they will be using a custom PHP template for the glossary archive.)
The Views custom archive just sees the results as list of posts and then iterates over them.
The solution you need is to have nested Views. An outer View for the alphabet taxonomy terms, and an inner View for the posts themselves with that alphabet term assigned.
This creates two separate queries, a taxonomy terms query and a posts query.
They have nothing to do with and cannot be integrated with the main archive query if you add those Views to an archive page.
You could ignore the main query, i.e. create a custom archive, output nothing from the archive query itself, and instead insert the outer taxonomy View immediately after the wpv-layout-start opening shortcode, removing anything between the wpv-loop tags altogether.
That would be equivalent to adding the View to a static page, with an important caveat.
You would be doing this just so you could use the same URL as the archive, but at a cost of WP running the normal archive query, the results of which you discard.
You might as well just insert the outer taxonomy View directly into a static page, unless you have a good reason not to. You presumably don't need the archive then, so you can disable the archive in the settings for the custom post type, in which case you should be able to use that URL for your static page.