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