Despite having correct regional settings, the sorting order of"å", "ä" and "ö" (Swedish) is wrong. In Scandinavian languages, these characters are not accents but separete ones and should be sorted at the end of the alphabet.
They should sort as "...xyzåäö".
This is done correctly in Office.
Using the Swedish version of PowerBi Desktop gives the correct sorting, but few desoigners will do that since almost all documentations is in English,