This has driven me crazy as well. Here's the only way I've found:
0) Let's say you've got 10 real folders and 10 shortcuts to folders elsewhere and all 20 are in a parent folder, and you're frustrated because the shortcuts alphabetize at the bottom instead of alphabetizing by name with the real folders.
1) make a dummy folder within the parent folder, named "zzz-real folders", to alphabetize at the bottom.
2) put all the real folders in this new folder
3) within that folder make shortcuts of all these real folders
4) drag the shortcuts out (up a level) to the original parent folder
5) voilà - now you have a list of alphabetized shortcuts that includes everything you wanted, with the dummy folder at the bottom