Example filenames:
04, 3, z (alphabetical)
3, 04, z ("natural")

Setting alphabetical file name order:
Configure Dolphin / General / Behavior / Sorting Mode.

If it is set to "Alphabetical, case sensitive", the list shows alright 04,3,z.

Now switching to "Natural" then Apply or OK, the order doesn't change.

To set it into effect you have to either
(a) reopen (just that!) the configure dialog or
(b) close and reopen Dolphin.

Refresh (F5), or changing to another folder and back... has no effect.

The other way round ("Natural" to "alphabetical, case sensitive): same.

SOFTWARE/OS VERSIONS
(available in the Info Center app, or by running `kinfo` in a terminal window)
Linux/KDE Plasma: 
KDE Plasma Version:  Example filenames:
04, 3, z (alphabetical)
3, 04, z ("natural")
-
a123, a43, z (alphabetical)
a43, a123, z ("natural")

Fortunately Dolphin supports alphabetical file name order:
Configure Dolphin / General / Behavior / Sorting Mode.

But the setting is defect:

If it is set to "Alphabetical, case sensitive", the list shows alright 04,3,z.
Now switching to "Natural", the order doesn't change.
To set it into effect you have to either
(a) reopen (just that!) the configure dialog or
(b) close and reopen Dolphin.
Refresh (F5), or changing to another folder and back... has no effect.

The other way round ("Natural" to "alphabetical, case sensitive): same.


SOFTWARE/OS VERSIONS
Operating System: openSUSE Leap 15.6
KDE Plasma Version: 5.27.11
KDE Frameworks Version: 5.115.0
Qt Version: 5.15.12