Hi,
The thing is that if you don't select a category there, then it will display all the categories in the filter, but in that case, it's logically impossible to use the "order" of the categories since the order of a category is set based on ordering of the subcategories of its parent category, and thus it won't work with categories having different parents since you'll have categories with the same ordering for different parent categories.
That's why the system falls back to ordering the categories by name.
The solution would be to create a custom category field, where you could enter the ordering for each category for that filtering.
Then, you would have to change the line:
$orderby = 'a.category_name ASC';
to:
$orderby = 'a.xxx ASC';
(where xxx is the column name of that custom field) in the file administrator/components/com_hikashop/classes/filter.php
Note however that this is a modification to a core file of HikaShop and thus you'll loose the modification when you update your Hikashop, and you'll have to reapply it.