Inside wp-includes/comment.php you can find the function "get_comments" and the SQL request: "SELECT * FROM $wpdb->comments WHERE $post_where $approved ORDER BY $orderby $order $number". $orderby is a parameter of this function and since WordPress 2.7 you can set the sort order in the admin panel, where I set it correctly.
Yes I am using SuperCache. But eben when I disable it the comments are still in the wrong order...