If you select the Month Name in your field list pane, then under the Modeling tab select 'Sort by Column'. You can chose to sort the name, by your month number field. This should still work in Direct Query mode.
Sure it is. I'm using the June version of the Power BI Desktp. It's available from the Modeling tab of the desktop (not in power Query editor). You have to select the field from the pane on the right, then the ribbon option becomes available.