The ordering setting only affects the order of the items in the frontend output.
In what order the items are saved (and show up in the select list) is not controlled and doesn't really matter.
The Order by "Ordering" means the order given to the articles in the article manager.
It might be a good idea to have the ability to turn of the ordering in the custom fields admin. That way I can enter them in the order I want and the system doesn't change the order.
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.