Custom emoji are always been displayed in alphabetical order. For this reason I used to rename all the emoji with a prefix as :old_ , :meme_ etc…, in this way I create groups of emoji so it’s very easy find what you are looking for.
BTW now some emojis are not displayed in alphabetical order even here on Meta (some regression?).
It’s not a big problem, but if you have 5 windows of mixed custom emoji it can be a nightmare…
