Since this time, I have been told how to reorder objects consistently in DAX. Click on the field you want to move, hit:
Alt+(Up/Down) to move an object up or down
It's that plain and simple, but I could not believe how non-intuitive that is. Like us developers are just supposed to know this. Drag-N-Drop works perfect in reordering fields in tables, why doesn't it work in reordering fields in table indexes?
It's this non-consistent behavior within DAX that just blows my mind and makes it a nightmare to get things done in. Granted I'm working in 4.0, but all I can do hope AX 2009/2012 fixes these issues.