The issue is that the action menu doesn't work in the current builds (even the most recent). It will change the order but once you come back to the admin the order will be different. The only way to change the order of pages is to drag and drop. However it for example you have 3 sub pages and you want the last one to appear first, it's not enough to just drag the last one to the top. I'm assuming that sort order property/field only gets set when it's dragged then dropped, so if you don't touch it, this property doesn't get set and it ignores the order in the front end. So to get around this, even if page is in the place you want it, you have to drag it to another location and back again, basically you have to drag and drop each one in order to have the sort order set.
Hope that helps.