I've noticed this problem recently too, since v1.21.405.2 was installed on my Desire, and wondered what was going on. I'm sure that the HTC Bookmarks widget also updated its order based on the sort by order set in the browser's bookmarks settings before this software version, but now it always stays as newest at the top, even when the browser shows them in alpha order. Sometimes I'll go into the browser and it retains my setting, but other times I'll go to bookmarks and they'll be back to newest order.
Hopefully HTC will fix this soon.