Huh. Yeah, Collections are sorted by name, but books are sorted by most recent (after the collections, like usual). (Home screen, cover view, sort by Collections).
(And, yeah, the only choice left to make sure a collection stay on top is either a digit, like Robmonster suggested, or a single quote (')).
And, yeah, you can set a different sort order *inside* a collection (title/author/recent), but that's not new, IIRC, we could do that on the Touch.