The problem is that there is no such thing as natural, and it is quite hard to determine what is more common. (Quite often more common is culturally dependent or, worse, contex dependent).
Even though it increases the match between semantic meaning and string sorting in many important cases and is a simple and consistent rule?
Yeah, but there is such a thing as "give a predictable and consistent way I can name the files so that they sort as I want everywhere" which (if different OSes don't try to be "smart") would have been to prefix them with the numeric date zero padded.
The options explode infinitely if you start trying to guess what people want in terms of semantic grouping. One user might want to see "September Budget" beside "September Sales Projections" and "September Calendar", and another might want to group it with "October Budget" and "November Budget".
If you have simple, stupid, but predictable tools, people can work around that, by picking naming conventions and even directory groupings that achieve what they want.
The worst is when you have an enforced sort that's not what you want. I think in Windows now, even if you say "Sort by name" in the Downloads directory, it insists on sub-grouping by age. I want every version of the Foobaz spec I downloaded, and no, I don't remember if all of them were in the last 3 months!