Manage State Codes --> State Code Manager --> Save Display Order?
In the latest update (1.1.1) States remain alphabetical but the Country does not appear as a set, I believe prior to version 1.1.1 the States could be displayed as a set/group?
Yes, there is a Save Display Order button but no way to place them in order.
It does appear to place the States in alphabetical order automatically just not group them by Country in the State Code Manager.
Ok. Got this sorted. There should not be an option for saving display order. In a future update I'll look at adding in a means to make it possible to see just the entries that relate to the country you have selected.