Export field settings for "order by" apply only to the output file itself. If only 1 record is specified to be exported, then there is nothing to "order" in the exported data file. The Export data file requires 2 or more of the record to "order by."
When specifying to Order by, ensure that 2 or more values are selected to export. Then in the exported data file, delete the unneeded column(s) if they are not needed.
If you need to populate columns with information of a certain type, by Phone Type for example, then export a specific phone number type in its own column. (Note: While this example talks about phone types, the technique can be adapted to any Export field where more than 1 can be specified to export.)