Official comment
Create your playlist.
Sort it by whichever criteria you want (eg. by Track Title) - then right-click on any column-header and select "Renumber Track Order" - the track numbering will be set to that preference. You can now export that playlist and load it on the player to show in that same order.
If you want to be able to SORT in a specific method, you need to add that - you can do that by connecting your USB device, click on its name on the left (tree) in Export mode, then click the SORT tab on the main window to show the sort options on that device. Add the ones you want from the left to the right window and they will then be available on your drive as a sort option when you press the MENU button on a CDJ.