happens exactly the same to me on a clean 9.5 install made on a recently formatted macbook pro high sierra… order is a mess. adding prefix numbers on folder didn’t do anything and resetting system preferences (shift+alt+cmd on startup) didn’t help as well
but I made the upgrade from 9.0 to 9.5 on a Mac Pro with Sierra, and there it works ok. folders list in their alphabetical order
so, it is a problem with the OS? or a problem with the install type (clean vs upgrade)?