RE: I am still not understanding what any of this has to do with the state drop down no longer sorting alphabetically.
Oh, oh, oh, I’m sorry! Your original post didn’t mention that your concern was about just the state dropdown. So I was looking at the first three dropdowns, which are categories, and trying to determine why they are not alphabetical.
The category dropdowns are not alphabetical due to the custom order that is being applied.
As for the state dropdown not being alphabetical, I am not sure. I can not replicate it at the moment. Let’s try this first. Please navigate to the Connections Settings admin page and ensure the base region and country are set and correct. If they are, change the selections, save, change them back, and save again. The purpose is to ensure those values are saved correctly in the WP database. Let me know after you’ve completed this.