In the dropdown (message) list there are the all unread messages first on top and then all new messages goes under. The idea is to read all unread messages first and then read all new messages.
If you want to view all new messages first, please go to your inbox.
Also, you can click on "Mark all as read" option to check all unread messages as read. In that case all new messages will go to top of your message list.
Read How to view Received and Sent message requests for more information.
