Thanks for the screenshot.
Yerp, you have to use a view that contains the # column *and* sort by it, before selecting 'play now':
In Album and Track view & Track Detail view, you have to click the # column each time, because it initially sorts alphabetically by album.
Artwork view can't be sorted by # for obvious reasons.
The above is almost the same as for 'normal' auto-playlists. The only thing that has changed is that the views initially sort alphabetically, so you have to click the # column each time. With 'normal' auto-playlists, the views remember the sort by # setting automatically.