Getting Excel 2007 Pivot Table dropdown Item Lists to sort alphabetically

I am having a problem with Excel 2007 Pivot Table behavior.  Pivot table has 3 page (?) filters with dropdowns.  Year, Period, Company.  Year has several items (e.g., 2005-2009), Company has 4 (AB, AC, AD, AE), and Period has a wide mix of text values (e.g., JAN-DEC, 01/01/2008, 01/12/2008, 12/31/2006, 12/30/2006 -- dates are actually text values).
So what I think and what appears in this case (EE-21659193) which I thought was absolutely on point  is that the drop downs should present in alpha order (I selected Sort A-Z on the Display tab of Excel 2007 Pivot Table Options after right-clicking in the dropdown field.
So I expect:
Year
2005
2006
2007
2008
2009  which is what happens no matter where I put it in the list of the three filter fields.
Company
AB
AC
AD
AE
but what I get is:
AB
AC
AE
AD  which is what happens no matter where I put it in the list.
Period
What I expect is perhaps
APR
AUG
FEB
DEC
...
SEP
YTD
01/01/2006
01/08/2006
...
02/15/2009
or something reasonable
but what I get is
FEB
AUG
...
SEP
01/01/2006
01/08/2006
...
JAN
DEC  
YTD
...
04/15/2008
04/22/2008
....
01/31/2009
12/31/2006 <---!
02/07/2009
02/15/2009
...
Absolutely perplexing for me.

One other point.  I am in compatibility mode, not 2007 .xlsx mode but, as noted above, I think I'm seeing all the 2007 Pivot Table "new ways to do it."

Any help very much appreciated.