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I can confirm that the https://wordpress.org/plugins/taxonomy-terms-order/ plugin will work, although not even remotely intuitively.
Here are the steps required:
1. Install the plugin
2. Change the sort order of the categories/taxonomy
3. Go back to edit your Post Grid
4. Click on the Query Post tab
5. Resave the Post Grid and it will rewrite the categories to the database and the filter with reflect that.