We've had a request to improve performance for ORDER BY when using indexed properties for awhile now, and until recently we've had other performance improvements that have taken precedence as far as engineering work.
We expect to see indexed ORDER BY make its debut with the 3.5 release, which should be within the next month or two.
It's more of a missing feature. Indexes in Neo4j are currently used for lookup, not for sorting purposes. Once 3.5 is out, if there is an index present on the property you're using for the sort, you should see much better performance.