Sigil always adds files in alphabetical order, not the order you click the files when you select them.
IMHO it is best to use a tool like
Rename1-4 and rename all the files from
chapter1.xhtml
chapter2.xhtml
chapter10.xhtml
to something like
chapter001.xhtml
chapter002.xhtml
chapter010.xhtml
This is a bit tricky (but not really that much), but it can be done in a few steps (no matter how many files you need to rename)
If you add them then the result will be as expected.