Attribute order when writing to a dataset is determined by the writer feature type.
Attributes within transformers are automatically aligned to the order of attributes in the writer feature type.
If you wish to order the attributes in a writer feature type alphabetically quickly, you can either go to Writers-> Import Feature Type and import an existing alphabetically sorted feature type.
Note that is recommended to hide or unexpose attributes that are not needed by transformers in the workflow as such reduces clutter. Unexposed attributes can still be written out. To unexpose an attribute, go to the reader feature type and go to the User Attributes tab.
If you are just talking about the sorting of attributes under a transformer in FME 2014 SP1 (i.e. the GUI function), then yes, it doesn't work. We raised a bug a few months ago. It hasn't been fixed at SP2, so hopefully sometime in the next couple of releases