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Apparently this is well known bug, but I couldn't find it from this bugzilla. I was able to dig into the queries:

Default sort:
SELECT DISTINCT t3.smw_id AS id,t3.smw_title AS t,t3.smw_namespace AS ns,t3.smw_iw AS iw,t3.smw_subobject AS so,t3.smw_sortkey AS sortkey
FROM `smw_ids` AS t3 INNER JOIN `smw_rels2` AS t0 ON t3.smw_id=t0.s_id
WHERE (t0.p_id='821' AND t0.o_id='6343')
ORDER BY t3.smw_sortkey ASC  LIMIT 21;

Other sort:
SELECT DISTINCT t3.smw_id AS id,t3.smw_title AS t,t3.smw_namespace AS ns,t3.smw_iw AS iw,t3.smw_subobject AS so,t3.smw_sortkey AS sortkey
FROM `smw_ids` AS t3 INNER JOIN `smw_rels2` AS t0 ON t3.smw_id=t0.s_id
INNER JOIN `smw_atts2` AS t5 ON t3.smw_id=t5.s_id
WHERE (t0.p_id='821' AND t0.o_id='6343') AND (t5.p_id='803')
ORDER BY t5.value_xsd ASC  LIMIT 21;

By changing INNER JOIN to OUTER JOIN and removing the new AND condition I get some results, but my SQL skills are not enough to determine whether it would also return bogus results in some cases.

And even if that was the correct query, I'm not able to change the SMW query generator to make such query.