This issue was reported with the 2.x and 3.x series and was supposed to be fixed in 3.1: it's broken again in 4.4.4.

I have a custom radio button field with values in this order:
Requested
Active
Completed

Looking at the database, these fields have the correct sequence numbers in the customfieldoption table:

id | customfield | customfieldconfig | parentoptionid | sequence | customvalue | optiontype | disabled
-----------------------------------------------------------------------------+---------
10990 | 10850 | 11061 | | 1 | Active | | N
10993 | 10850 | 11061 | | 2 | Completed | | N
11076 | 10850 | 11061 | | 0 | Requested | | N

However, when I pull up a query in the Navigator using those issues, the sort option in JQL sorts them as "Requested, Completed, Active" when DESC is selected, or "Active, Completed, Requested" when ASC is selected. It appears to be keying off the "id" field rather than the "sequence" field for sorting.