NHibernate Sets don't have "order" even though the set mapping supports an order-by. See Ayende's explanation:
Note that [order-by] does not work with generic sets and that in general,
you don’t want to rely on those ordering properties, you want to use
the natural properties of the selected collection. Sets are, by
definition, unordered set of unique elements.
You can append the order by clause to the underlying SQL, but that order is lost when NHibernate builds the set. Using an "ordered" set or other collection type (bag or list) will work, of course.