Comment 1 for bug 439948

This is actually a feature. The idea behind maintaining a backlog to organize the tickets absolutely in the unscheduled backlog, and then bring them into your sprint. It maintains the ordering that you and your team decided on. It also allows you to move the ticket back out of the sprint, and still retain the ordering your team had decided on.

FWIW, several commercial apps that do this sort of thing behave exactly the same way. For example, the GreenHopper plugin for Jira has this behavior.