Is there a Way to Change the User Sort Order

Yes there is. You have to do the following code changes in the mass-messaging.php file.

Sort Groups –
Replace line 405 $groupsAll = $wpdb->get_results( $wpdb->prepare( "SELECT * FROM {$bp->groups->table_name} WHERE status = 'public'",null ) );

with the following:

Sort by group name: $groupsAll = $wpdb->get_results( $wpdb->prepare( "SELECT * FROM {$bp->groups->table_name} WHERE status = 'public' order by name",null ) );

Sort by group id: $groupsAll = $wpdb->get_results( $wpdb->prepare( "SELECT * FROM {$bp->groups->table_name} WHERE status = 'public' order by id",null ) );

Sort Users –
Replace line 445 $membersAll = $wpdb->get_results( $wpdb->prepare( "SELECT * from $wpdb->users",null ) );

with the following:

Sort by username: $membersAll = $wpdb->get_results( $wpdb->prepare( "SELECT * from $wpdb->users order by user_login",null ) );

Sort by display name: $membersAll = $wpdb->get_results( $wpdb->prepare( "SELECT * from $wpdb->users order by display_name",null ) );