I think that the natural sorting means that the case of a letter is ignored and certain internal characters like the apostrophe also.
In respect to the folder ... I can only suspect that "Help!" is not just "Help!" but actually "Help!" - and the backslash is further down the character code table than the space character in
Here is an example if you sort by the full path:
The solo "Notorious" comes after the "Latin Rascal Mix"
According to Wikipedia the "natural sort order" is an ordering of strings in alphabetical order, except that multi-digit numbers are treated atomically.
There is no hint about the sort order of special charaters like [ or ] or ( or ) or others
The natural sort order helps to sort strings like
Title1
Title2
Title3
Title11
Title12
more human-friendly.
I don't see any logical reason to prefer a ( before a [
BTW: I found this interesting answer on superuser.com
You could use the property "Sort by" in the column definition and sort by a string that got removed all the common path separators: $replace(%_folderpath%,/,, ,,_,,:,,\,)