I had this same problem. Whenever I added a new Mail Box (folder), it would incert at the bottom of my collum of Mail Boxes. Apple Care told me, the only way to keep all fo my Mail Boxes in alphabetical order was to, each time I created a new one, to drag it from the bottom of the list to its correct position. Bottom Line, drag Mail Boxes into the order you want them.
However, in reading above, there is a way to alphabetize "automatically". Finder > Library > Mail > Mailboxes > Gear Icon button > Arrange By > Name. This should do it.
I don't know if this sets up to continue to alphabetize as we create new Mail Boxes, but I think not.
Idaho Lemon