I'm afraid your post is confusing me. I see field names like MMMYYY and dsc_mes mention, but the screenshot seems to use a field mes_PCO. And that shows two-digit values that look like month numbers and not MMM-YYYY values. The description you wrote and the screenshot you posted don't make sense (no pun intended).
Did you change the sort order of the dimension at all or is it set to automatic? Perhaps you simply need disable the autormatic sorting and to set it to sort numerically.
Can you post a small qlik sense app that demonstrates the problem?
Using the Pick() function is not a good idea - you should use the built-in date and time functions instead.
If you have a month field "cod_anomes" with the format YYYYMM, you should simply interpret this correctly in the script using
Date(Date#(cod_anomes,'YYYYMM'),'MMM-YYYY') as AnoMes
AnoMes will be correctly sorted, and you can use it in further transformations.