With a little bit of experimentation, it seems that Plex is using the order the characters appear in the Character Map app in Windows (Unicode order ???) That would put upper case letters before lower case letters.
I added the movie Up (2009) about a week ago, and the trailers and shorts are in the alphabetical order I expected. But if I change the trailer Up (Television Spot).mkv to Up (TV Spot).mkv and refresh metadata, it becomes the first trailer in the list.
