Is the normal behavior. You can see the same on a Desktop Listbox.
You will need to sort as you want.
You may want to create a feature request to add Datatables columns.type, to be able to define the column as numeric and sort by number and not A-Z.
Cells are strings. They sort as strings. If I have a column of numbers I want sortable, I add a zero left padded version of it to a celltag, rowtag or hidden column, and sort on that.