I never thought of it until one of my users said it. Sorting the KPI can be a very good idea. Instead of always having the same indicators (gauges, traffic lights, etc.) in the same position of the screen, sorting it can make the viewer expect that the most relevant indicator will be placed in the top-left corner of the screen, the second most-relevant will be placed after it, etc.
Sorting the KPI is a very easy thing. Every end user, even with no clue in MDX can do it by following this:
In the Define KPI wizard, go to the "Select Set" step. Copy the current set. For the example, let's say that the current set is [Products].Members and you want to sort it according to the Sales measure in descending order. Click on the advanced button on the right of the set (The button with the "..." on it) and enter the following MDX statement:
Order([Products].Members, [Measures].[Sales], DESC)
If you want to order in ascending order you can replace the DESC with ASC or not to mention it at all.