Bookmarking doesn't work for modified playlists. That is, if you insert a file or a directory, you first need to save the playlist before you can bookmark it. Internally, playing files from the database is very similar to creating a playlist, so bookmarking doesn't work then. If you just play a file in a folder, Rockbox can easily re-create the playlist, so it isn't seen as modified in that case.
When you play from the file browser, Rockbox only considers the file name or date when sorting. This is intentional.
Anyway, there are two solutions to your problem: either name the files so that they appear in the proper order in the file browser (and play from the file browser) or create a playlist and play that. The playlist can be created on the PC if you like (that's what I usually do); save it as an M3U (or M3U8) file.
Also, please edit your post rather than double-post.