If you define a USER DEFINED Sort in SA-M, it is not be saved as part of the Report Name.
 
1. Create a report with SA-M
2. Step down to the SORT field
3. Select USER DEFINED as the Sort field
4. Specify a Ship Date range
5. Click the the USER DEFINED button at the bottom of the screen
6. Select Fields to sort on  
 
(notice that you can not set or change the break field mark)
 
7. Step down till you can select the Layout name
 
 
As soon as you press return for the Layout, it immediately goes into printing the report.  If you now go back to the report you just named, you will find that it did not save any of the user defined stuff nor did it retain that this is a user defined report.
 

I agree, intuitively it should, but unfortunately this one won't be easy to fix.  The User Defined capability was added after the file structure of the file that retained the report settings was established so there are no fields to store the additional User Defined settings.  I will have to get creative here....  

Perfect!  Thanks!