I got distracted, so Brian beat me. But I wrote this anyway before being distracted.Ah. I see the problem. Well, with a little bit of guessing.
I'll bet those movies have a value in the [Name] tag of;
"A New Hope"
"Attack of the Clones"
"The Lego Movie"
So, alphabetically, they are sorted correctly on the [Name] tag.
If you have the setting at "Options>Tree & View>Sorting>Ignore articles" checked the words like "The" are ignored for sorting purposes. So the above movies are sorted in the sequence "A ", "At", "Le", which is correct, although it means you don't have any movies named between "At" and "Le", which is a pretty big jump. You must not have many movies in your library yet.
I have my Star Wars movies named like "Star Wars I - The Phantom Menace", while I see the IMDB which MC uses to look up movie data uses the form "Star Wars: Episode I - The Phantom Menace". Choose whatever method you want, but just understand that the movies are sorted alphanumerically on the [Name] tag.
You can also put the series name in the [Series] tag and modify views to group the movie episodes together. I have partly done that myself, but haven't created views for movie series yet. That is on my to do list.
Search around the forum and you will find threads discussing Movie Series, sorting, and so on. Also read up on Standard and Theatre View Views, creation, sorting etc. Lots to learn. MC is very flexible in this area.