Strange behavior of pivot

I just ran into a strange behavior of the pivot mechanism. First, some details: I am using office2010, english installation, with regional settings of Italy (so date is dd/mm/yy, currency is euro), but I keep the dot as decimal separator.
I have a table with n records, each for a different member of a local club. One column, naturally enough, has the heading "last name". I try to insert a pivot table, and use the last name field as row heading. I would expect that the rows get populated with all last names in alphabetical order. This is not so, because before the first last name with "A" there are two names: Marzo and Maggio. These happen to be last names equal to the names of two months in Italian: March and May.

After some thinking, I added a fake last name to the data base, with last name = Dicembre (December), and in fact also this one gets listed at the beginning, before the "A". In other words, the pivot table puts at the top the names of the months (in their proper order) before starting the regular alphabetical list. This does not seem to happen if I insert fake names using the month names in English.

The same behavior is found in excel 2003, so it is not a recent issue. Then, the same thing happens for every predefined list, e.g weekdays, and also for user defined lists. Oddly enough, it does NOT happen for the abbreviation list: that is, it happens for Gennaio, Febbraio, Marzo.... (January, February, March...) but not for GEN, FEB, MAR... (Jan, Feb, Mar,...). As a friend said, more than a bug, it looks like a (undocumented) feature.

By the way, this only happens in the pivot tables: if you sort the source database table with the standard procedure, the data are sorted correctly.
Is there an explanation for this, or is it just a plain bug? Or, as a friend said, is an "undocumented feature"?

Thank you
Robert, Italy