Hi Retrotel,
I might know the cause of this, however please confirm if this helps. First off, if you didn't already realize this, if you click a Column header on any grid in Method, it will sort that column either alphabetically, or numerically, depending on what is in the fields. So, by clicking on the "Date" header on your Sales Order Screen grid, it will sort it in the correct order. Consequently, if you click on the column header a second time, it will give you the opposite order.
Another thing you might be encountering; let's say your are currently viewing page 5 of 10 in your grid, then you apply a filter to one of your columns. Even though your list will get sorted, keep in mind you will still be on page 5. After changing your filter, you will have to manually go back to the 1st page, again this could be something you are experiencing.
Please try these suggestions out and let us know if this helps you out.
-Ben