It's a nice feature request, did you sent Mendix a feauture request regarding this functionality?
But i agree with Mendix that it's not a bug, because it works as designed.
Keep in mind that if you want any control over a list of entities you're retrieving you should always use the sort option.
Default sort on ID, while executing batch retrieve, has been implemented in the 4.7.0. release!
This is one of those things that if you think about it sounds really logical but yet is overseen so easily.