Dropdown menu widget automatically generates pages and categories menus. While generating page menu, it uses Page Order specified on Add New Page screen. ***
Unfortunately, for categories, this feature is not available. However you can still order your category items, using Menus under Appearance.
To achieve this, simply add a custom menu, and add all categories to your menu. Sort menu items as you like them to be.
I hope this helps you about creating your own menus.