I can confirm this bug.
Fresh installation of ePO 4.6 on W2K8 R2 (no migration). In ePO 4.5 the sorting was working well.
I opened a service request on McAfee Service Portal.
Still no fix available, i think ?
At the moment the developers are aware of this and it is tentatively scheduled to be fixed in ePO 4.6 patch 1: at the moment I don't have a date for this, though.