You should use an integer (I suppose you are using a string) to sort the values as followed:
1
2
101
201
10001
20001
Currently ordering right justified isn't possible. Please add a feature request in our Mendix Partner Portal.
There is a way to do this with styling. You have to give the datagrid a custom css-class and then you can do something like this:
.CustomClass .mendixDataGrid_dataContainer {
text-align:right !important;
}
But that means all the columns will be aligned to the right. If Mendix adds the possibility to add a custom css class to a column of a datagrid, it will be easier.