I noticed this behaviour when I first got the phone and I was testing applicatios. I found JWMD icon changer and that had a alphabetical sort. I did that and noticed any new apps appear at the end of the list. I'm going to try the sorter app above to see if there's any autosort option but I think I like the way It's done at the moment as its easy to find new apps. any regular apps get launched from quicklinks so I normally don't use start menu.
Virgin HD2 (1.66.405.2 WWE, Radio: 2.06.51.07)
Orange Touch Diamond (Official OrangeUK ROM: 1.93.405.1 WWE, Radio: 1.00.25.05)
Orange SPV M500, Orange SPV C500