Values in Filter dropdown list are sorted by A-Z as you mentioned. It is by designed in Excel. MDS Excel Add-in just get data from MDS into Excel, and then use the Filter feature in Excel to filter it.
In such similiar scenario in Excel, users often add a dummy column with number before the text, and then use the new column to filter data.
Microsoft is conducting an online survey to understand your opinion of the Technet Web site. If you choose to participate, the online survey will be presented to you when you leave the Technet Web site.