Contact Views - Last Name Sorting

Contact Views - Last Name Sorting

I want to cycle through and call a group of names in our contact list.  To narrow the list, I created a new "View" and selected, for example "Mailing State" is "MI" as the search criteria. It doesn't really matter what the criteria is.
 
The narrowed list of only Michigan contacts is on the screen.  I want to work the group alphabetically by last name. (Yes Zoho Support, I changed the "Name Format" to "Last Name", "First Name", Salutaion".)
 
I click on the letter "A" above the list to display only the contacts whose last name begins with the letter "A".  Click on the first name in the list.  Next, click on the "Right Arrow" to advance to the next record.  The "A" names are no longer in this list and each subsequent record begins with a different letter of the alphabet.  What is going on with this and how do I fix it?