The order they are saved in is more of a default HTML thing. And is down to the standard select field script Joomla uses.
The form data sent, simply contains the selected options in the order they appear in the list of items of the select field.
The order of selecting items doesn't change that.
So this is not really behavior I can change... unless I create a completely custom select field script and override the way in which the form data is processed before sending it when you hit save.
Not something I am going to do.