I haven't seen a new shopping list myself yet?
Instead of digging through the Google Home app for the shopping list I just visit the website link below on my phone browser and then add that to my device home screen for fast access.
And this will still start alphabetically if required.
After testing this using Chrome on my phone and Chromebook it is remembering the last used 'sort by' option I select.
Are you blocking cookies or do you use any Ad blockers?
Now it's getting good...
Nice thinking.... generally I like cookies (benefits are greater than none) so bring on the cookies. I have had an ad blocker on the desktop, just removed it but the same results. And no blocker on the phone. Yet neither the phone or desktop will hold alpha sort.
More interestingly ....I shared my shopping list with a friend and the same result....it will sort alpha but close the list and reopen and alpha sort is gone.
And better yet....if I switch to the "previous version", it still remembers alpha sort (as it has for a couple of years).
Finally, the "new view" will not allow me to share the list (the share icons are present but not functioning) but if I switch to the "previous version", the share feature works as expected.
Conclusion (possibly incorrect?!?): there's something amiss with the "new look" shopping cart app my devices are interacting with.
Simple solution: Previous version (for now).