You do need to sort the attributes in a DER-encoded SET. This is critical for CAdES which computes the hash of SignedAttributes by re-assembling them as an explicit SET before computing the digest. If you didn’t sort them the same way, the hashes won’t match.

• ITU-T X.690 (DER), §11.6 “Set-of components.”
  The encodings of the component values of a set-of value shall appear in ascending order, the encodings being compared as octet strings with the shorter components being padded at their trailing end with 0-octets.