The colors appear in the color lists in the order they're created. Anyway, you can reorder colors as you want.

To reorder colors, open the Color editor, select the color to be moved elsewhere and then click [Move Up] or [Move Down] buttons. You cannot select more colors at once.

You can also drag a color where you want.

Automatic sort of colors is not supported.

 IMPORTANT 

Although you can move and reorder also C,M,Y and K colors, have in mind that the order of those colors determines the order of color separation plates in a CMYK PDF.

Thus, if you move and reorder C,M,Y and K colors, ensure that their order is still C,M,Y, and K, otherwise, the order of colors in your color-separated PDFs may be different than standard.