The answer to this question may be true on PC with Windows, but on Mac, the Preferences sub-menu item is found under the Unity main menu heading. This question is a bit “misleading”, given the available answers.
How do you enable Alphabetical Sort?
“Edit” > “General” > “Enable Alphabetic Sorting”
“Edit” > “Preferences” > “General” > “Enable Alpha Numeric Sorting”
“File” > “Preferences” > “General” > "Enable Alpha Numeric Sorting"
Click the Cog icon > “General” > “Enable Alpha Numeric Sorting”
On a mac, it would be:
‘Unity’ > “Preferences” > “General” > “Enable Alpha Numeric Sorting”