Sometimes when working with SQL Server Analysis Services (SSAS) and MDX queries, the ordering does not seem to work. Is this situation a bug or do I need to adjust my MDX queries? In this tip, we look at different ways you can sort your output.
Source: Order and Sort with MDX in SQL Server Analysis Services
I had sort order display issue with Month, but once I change Dimension table sort order from Name to Key for the month field.
It starts working fine to sort month number right.
It is illustrated very fist part of article