Hi Joanna,
Although there might be some unseen sorting behind the scenes, I suspect otherwise, and I am not aware of any such setting.
In theory, it might be possible to create a second calculated parameter that inspects the multi-select using CONTAINS (for example) in The Right Order and thereby returns the selected values in the order you require.
Another approach would be to separate each into its own "single" check box, which (although it takes up a bit more real estate) also has some advantages in that they can be used to easily drive groupings and charts...and for that matter (same coin, flip side) could be recombined (in The Right Order) with a CONCAT formula in a calculated parameter.
Regards,
Doug