Hi Joe,
Sorry, I misspoke! Joomla 2.5 has independent ordering for each category (which is the opposite in 1.5). So in 2.5, the order would be 1,2,3...1,2,3...1,2,3, etc. That's why it won't allow you to save different numbers.
Going back to your actual issue, it appears to be a bug. I also found a previous JoomlaCode Bug Tracker issue that documents the bug, but it was still set at "Open" status, so I've gone ahead and set its status to "Confirmed". Here's a direct link to the tracker issue:
joomlacode.org/gf/project/joomla/tracker...racker_item_id=25608 Hopefully we'll be able to get that fixed in the next Joomla version.
Kind regards,
Nick