The order in which files display on your Mac is adjustable. You can view by file name, by date created, by date modified, by size, and other attributes, any of which can be reversed with a click. The Mac has no way of guessing what order you saw the photos inside those files before you airdropped them.
In what might be a common case, you would be viewing the photos in the order you took them with your iPad (or more commonly on and with an iPhone), and they would have file names that included numbers that increased with time, so after airdropping the Mac might view them in the same order if viewed by name sorted A-Z/0-9 or reversed if sorted Z-A/9-0.
When you choose that "All Photos Data" option, each photo from the iPad may become several files (such as base, changes, result), so they are enclosed in a folder to keep them together. If there are no changes and the result is identical with the base, you get only one file, but it is still in a folder. The folder itself has fewer interesting attributes on which to sort.
Does any of that longwinded explanation help any?