Answer
Check the Lobby element's URL Address — if it's using an old-style form-type navigator address (like ifsapf:frmOpportunityOverview), 'Use data source order by' won't actually take effect; changing the address to the corresponding table/window-type address instead (like ifsapf:tbwOpportunityOverview) is what makes the destination screen actually honor the data source's sort order when navigated to from the lobby element.