by AL Rachels.
Hi Steve,
The name order is controlled by a setting at Site Administration > Users > Permissions > User Policies > Full Name Format.
I presently have mine set as: lastname alternatename firstname
When I download submissions they are in alphabetical order by last name, nickname, and then first name. Just be aware that this also sorts and lists them into last name order every other place students are listed.
HTH,
AL
Edit: Just went and took a quick look...I think you can also modify the language file, moodle.php located at yourmoodle/lang/en/moodle.php by changing the entry for fullnamedisplay and not making the entry I mention above.