Checklist "All Projects" not sorted on the top left of scree

This list is sorted on wbs.
If you need some specific sorting, you can simply sort projects in Gantt view.

But t search for project is more simple : beside project selector, click on the small icon .
Click on it, and then select "filtering select" style for the list.
The projects list will become filterable : start to enter some characters will restrict list to projects stating with these characters.