I have a problem that ORDER BY is not working the way I want.

My code:

SELECT 
    LastName + ' ' + FirstName AS [Full name],
    TitleOfCourtesy AS titleOfCourtesy,
    CASE
        WHEN TitleOfCourtesy IN ('Ms.', 'Mrs.') 
            THEN 'Female'
        WHEN TitleOfCourtesy = 'Mr.' 
            THEN 'Male'
    END AS Sex
FROM 
    Employees
WHERE 
    TitleOfCourtesy IN ('Mrs.','Ms.','Mr.')
-- ORDER BY Sex DESC;

This code returns this result set:

When I add ORDER BY(uncomment last line) , it returns:

I think result should be like this (this is what I want):

Here is my Employees table:

I don't understand why Callahan Laura and Dodsworth Anne is moving up in img 2. What happened? Did I misunderstand how ORDER BY works? Any help is appreciated!