The columns in the ColumnChooser are sorted alphbetically by default. If your columns are not showing up alphabetically, then you must be explicitly changing the order.

The way you would change the order is like so:

        private void ultraGrid1_BeforeColumnChooserDisplayed(object sender, BeforeColumnChooserDisplayedEventArgs e)
        {
            e.Dialog.ColumnChooserControl.ColumnDisplayOrder = ColumnDisplayOrder.SameAsGrid;
        }