When users apply a sort filter to a Query List, then include the Static Query in another module (Export, Mail, Reports, etc), the exported information does not retain the sorted order.
The option to sort a Query List is only meant to order the records within the actual Query List, not within Export/Mail/Reports. When a Query List is used in one of these modules, it defaults to sorting by the System Record ID.
For Export: Export the information and reorder the results within the exported file.
For Mail: Use the Sort options on the Format tab to sort the mailing.
For Reports: Use the Sort/Break options on the Format tab (when available) to sort the report results.