Export field settings for "order by" apply only to the output file itself. If only 1 record is specified to be exported, then there is nothing to "order" in the exported data file. The Export data file requires 2 or more of the record to "order by."

When specifying to Order by, ensure that 2 or more values are selected to export. Then in the exported data file, delete the unneeded column(s) if they are not needed.

OR

If you need to populate columns with information of a certain type, by Phone Type for example, then export a specific phone number type in its own column. (Note: While this example talks about phone types, the technique can be adapted to any Export field where more than 1 can be specified to export.)