This is what I got when I used your code in SSMS as is. It looks correct for me. So perhaps something specific to your database settings (like collation) is making it sort differently?

<row>

<ID>1</ID>

<Firm_Name>ABC Capital</Firm_Name>

<Firm_Address_1>123 The Lane</Firm_Address_1>

<Firm_City>London</Firm_City>

<AUM_USD>100000</AUM_USD>

<Industry>Retail, Consumer Goods</Industry>

</row>

<row>

<ID>2</ID>

<Firm_Name>AXyZ Capital</Firm_Name>

<Firm_Address_1>333 The Lane</Firm_Address_1>

<Firm_City>New York</Firm_City>

<AUM_USD>9999</AUM_USD>

<Industry>Food</Industry>

</row>

<row>

<ID>3</ID>

<Firm_Name>ABC Capital</Firm_Name>

<Firm_Address_1>1 The Lane</Firm_Address_1>

<Firm_City>Milan</Firm_City>

<AUM_USD>555</AUM_USD>

<Industry>Agriculture</Industry>

</row>