You are right, this way you can sort it yourself, although in a bit cumbersome way. Leave it as it is, now knowing how it works I can get the order right the next time.
Exactly - having the flexibility to change things, is why I went this direction.
Another good example would be a huge thread with moderation action taken against someone (somewhere) - a Moderator can shortcut to the controversial post and have it appear right at the top (regardless of whatever other shortcuts had been added)...
You'd achieve more flexibility by allowing every user to access a sorting option for shortcuts, so different users can have the same list displayed in the order they prefer. This way you can avoid the cumbersome method of manual arrangement.
When it comes to moderations (which include thread warnings), you could allow moderators to toggle on red text for the display of the shortcut as well as turning the default color for the drop down menu red. So before anyone clicks on it to see the drop down menu, there would already be red text visible, but after opening the drop down menu only the moderation notice would be displayed in red text. This way moderator actions would stick out regardless of the sorting option and it would also make it easier for users to notice that a thread warning has been posted somewhere in the thread, because the Shortcuts menu already appears in the first post of every new page.