Intriguing! I don't have an operational M4.0 instance but do have a M4.1 instance, and there is the option to change (persistently) the sort order:
Looking at the code, there is the 'sortorder' field in the 'course' table that is an integer, default of '0'. Thus initially, the first course shown will be the first one you've created in that category, as you've experienced. Clicking on 'Sort courses' and selecting an alternative changes the value of the 'sortorder' field to reflect the choice you have made, thereby being the same when you refresh / revisit the page.
Kind regards,
Gareth