When you tagged your files, did you populate the Album Sort Order field? Plex will normally pick that up and add it to the Sort Album field in the Plex database. Artist Sort Order is treated the same way.
Plex normally ignores articles (the, an, a, etc.) at the beginning of titles. If it isn’t doing so, there’s a reason for it. Here’s a thread with some discussion on possible causes.
As for the capitalization issue, I suspect this is because Plex is getting metadata from Musicbrainz, rather than your local files (which may be contributing to all the issues you’ve reported here). The capitalization practice you describe is standard English grammar, and it is the documented style guideline of Musicbrainz. If your embedded tags truly are meticulous, you may want to make sure Plex is configured to prefer them over online sources (be aware, you’ll quickly learn of any mistakes in your tagging. Trust me!)
