Pricklepantz,
What you do at the single product doesn't seem to change the order. So you need to go to the latest submenu under Products. (I have a Dutch translation, so I don't know exactly what it is called in English).
When you change the order over there you should see it change. So if you need to make an execption for one (or more) specific product, then you need to create a new category on that page. Not ideal.