I don't think there are any settings. Times I've used it, it has always gone back to default and I always have to redo the sort.
The whole "My Nook" section is a piece of cr@p, IMO, and will presumably never change since they're going to get out of the ereader business. When they started it they were like, oh, this is a beta version, essentially, and there are going to be a lot of improvements, but I don't think they've ever made a single change to it. Not only is there your issue, but you can't even do something as basic as searching it, as far as I've been able to figure.