calibre will sort books inside the library whatever criteria you choose to sort by. If you click on the series column it will sort them in numerical series order (not in the order you describe above). I think what you are describing comes from when you first add a book to calibre, it will temporarily put it at the top of all books in the library view, but as soon as you click on another column to change your sort order that will disappear (unless you sort by the date added column rather than series).
However your question concerns sorting on the Kindle. Take a look at this wiki article:
That will allow you to get series information put into the title when books are sent to your Kindle, thereby allowing them to be sorted in sequence if you set your Kindle to sort "by Title".
Note also that the Kindle if you set it to sort "by Author" it will show books by the same author in *reversed* published date order. So if you make sure your publication dates are in the correct order to match series numbering and then send to your Kindle, then this will allow you to control the order books appear.
If you aren't already you should also be using the Kindle Collections plugin - use that in combination with a metadata plugboard and you should have pretty much anything you need. I create collections by author, and then inside a collection have it set to sort by Author so I can read books published by that author in the order he wrote them, which (usually) coincides with series order if you have your pubdate metadata setup right. This also allows me to see/read all books by that author in order written, not just those in a series.