Please review how to sort a report .If this does not work consider the following:
  1. Are your groupings in the correct order? If not, then change the order of the groups.
  2. If you have groups and they are based on formulas, are your formulas correct?
  3. If you are using a formula for Record Sort, are your formulas correct?
  4. Is the sorting or grouping field blank? (blank groups will always appear at the top) If yes, then check the export criteria.