Change of view

Actually, I think I answered you too quickly.  I followed your workflow exactly and you are right.  Even though the Album remains selected, the Sort by order changes to Newest instead of Album Order.  I think I would consider that a minor bug and will report it to Adobe.  But don't hold your breath for that to change any time soon.

I guess some might consider it a bug, but it is really the designed behavior.  When you select an Album, the Sort by Album Order is automatically selected.  You will notice that Sort by Album Order only appears in the dropdown list if an Album is selected.  Once an Album is no longer selected, the Sort by list should revert to your original Sort by choice.  In your case, I am assuming that your original choice is Newest. If you think about it, there is no reason to have the Media Grid sorted by Album Order.  Most users will not have all of their images in Albums, so what is the program supposed to do with files that are not in Albums?

So, you are doing nothing wrong.