Hi Kristbjörg,
I was afraid that might be what you meant. I don't know of any way to change the order of that list unless you dig through the code and find where that list is sorted and change it.
Even if you go to User policies and change the Alternative full name format to just show only the, firstname, the names in the list of students are still in lastname alphabetical order. As an alternative, supposedly if your language pack defines name display, you should be able to just put, language, in the Alternative full name format setting, and get what you need.
Before I retired, the order of that list always seemed to frustrate me, too. What I did to get around it's annoying behavior, was install the Grade Me block, and add it on the front page of the site, with it set to display throughout the entire site. When any users logged in, if they were graders anywhere, and there was something for them to grade, it would be listed and they could be grading in just two clicks. When they saved the graded submission, the updated Grade Me block would be right there and they could go directly to the next person that needed grading. Since ONLY students with submissions needing to be graded are listed in Grade Me, they did not have to "play" with the filter setting for that list.