If you start Drag & Drop, you will see all available drives in alphabetic order with the Mainframe Express (MFE) Catalog at the bottom. Right-clicking on one of the drives and selecting a value for "Directory based on filter" for something that exists, changes the order of the drives shown in Workstation Window after refresh. The drive with the filter is no longer shown in drives order but is placed after the MFE Catalog.

The described behavior is the expected behavior of the product. When you set a directory display criteria, then only a subset of files is selected on this drive. As the MFE Catalog is again a subset of files based on some criteria (for example IRG.*), then the  new subset is ordered after the other drives but is alphabetically ordered according to the MFE Catalog. If you set a display criteria for another drive, then you will see that the new subset of files will be placed again at the bottom and ordered alphabetically according to the other subsets. So at the top of the list the entire drives are shown and at the bottom - drives for which a subset of files is chosen.