The setting in admin general does not apply to products if you have multiple parent categories.
I have selected and saved sort products as default by Name A-Z.
Go to
http://openblindboxes.com On a category on my site like Tokidoki > Cactus Friends you can navigate to it and see it loads sorting by A-Z.
However go to Kidrobot > Dunny > Dunny Series 2 and you can see it sorts by default. Which is not A-Z.
All my testing seems to show this occurs when the product has 2 levels of parent categories or more. I have viewed many products on my site and this seems to be the pattern.
This is only a defect submission and does is not a high priority fix.