I have seen this issue reported several times for 1.9, but not for 2.0.
I have sorted the attribute values as expected, but when they are displayed in the dropdown, they are not displayed in that order.
Stock Luma theme. 100% clean/stock install of CE 2.2.
Everything has been reindexed and cache cleared.
I found an open issue for this on GitHub: https://github.com/magento/magento2/issues/7441
EDIT:
Not really an answer to your problem. I have lots (100+) of colors and they are a crime to sort by dragging.
Therefor a use this query to order them by value
# drop table temp; ##remove first# in this row if temp allready exists
SET @row_number = 0;
create TEMPORARY table temp
(select (@row_number:=@row_number + 1) AS num,a.option_id ,a.value
from mg2_eav_attribute_option_value a
order by value);
UPDATE mg2_eav_attribute_option b , temp
SET sort_order=num
where temp.option_id=b.option_id and attribute_id=142
#attribute_id in my case <lookup in eav_attribute)
#141 brand
#142 size
#143 color