Series names and indexes are usually a mess. Don't expect to be able to automatically set series information from downloads. I never download series information, since it usually is wrong, or slightly different between books, and even may change over time. I enter it manually.
It is possible to customize how calibre sort/write leading "an", "a" and "the" in titles and series, from how libraries does it to strict alphabetically.
It is a tweak. You change a value in a configuration file. Read more about it here: