The Open File Dialog is just a variation of the Explorer view & what you're describing is something that's been going on since Winamp started as it's down to the OS and not the client.
Winamp/WACUP just gets a list of files & there's generally no control over what the ordering of that list is, with where the focus is within Explorer, etc often helping but it's not guaranteed.
Hence why I was talking about having to consider doing additional processing of the list of files provided in order to maybe come up with a more appropriate ordering of the files once added into the playlist.
-dro