DBU does offer the ability to order by key fields however there is no function key to accomplish this. There is a setting in DBUAUT that can accomplish this.
If you execute the command DBUAUT and access the DBU User Authority Defaults (any profile not specifically defined in DBUAUT will use the *PUBLIC profile). Then use Option 1=Update on the appropriate profile and page down 2 times to the third screen, you will see a parameter for “Order by Key Fields first” near the top of the screen. Changing this to a ‘Y’ will accomplish what you want when you use DBU.