You can sort pick lists and invoices so that they appear in a more useful order.
For example you can sort by warehouse location to save some leg work in the picking process. Or you could sort them by order date to make sure the oldest orders go out first.
This is also the order we will send consignments to the carrier so it will usually define the order that labels are printed (depending on the carrier).
Go to Settings ⇒ Carriers ⇒ (the carrier) ⇒ Settings and choose from the Sort Orders By list.
Print order is not affected by changing the sort order in the tab for the shipping run - that is just for displaying them. Printouts and exports are always sorted in the order you select for the carrier.