If you change the Sort Posts order, it only works in threads you've viewed since you made the change.  If you haven't looked at the thread since you changed the order, it doesn't work - but it will the next time you visit the thread.  (At least that's how it works for me - Firefox, Mac OSX)

Love, Columbine 

Nick, it depends where you are selecting your Thread from, too.

 From the Main OKP menu, if you click on the subject of a thread you are automatically selecting "Last Post in" .....subject....."by whoever".

When you are in a Topic main menu, say in the "Help" section, and you choose a Thread by subject, then you are automatically taken to the First post in that thread.

Try it with this thread.  Go to the main menu and choose it, and it will take you here.  But go to the Help section and choose this thread and it will take you to your intitial question.

Does that make sense?