I forget the reason for this... there is one I THINK... I mean not like a GOOD reason... something to do with the in memory tree... I guess it's fair to say that it's not clear to the computer any desired order...
I've not done much with validation a couple guys have had some good blogs on it... I THINK Tommy Valand and Mark Leusink.. not sure... you might want to Google... Or start here: http://stackoverflow.com/questions/9126614/how-to-set-the-order-of-validation-messages
Good Luck