We use a Sharepoint Group called Supervisors.
Opening the group using SP Designer, I can see it's sorted by last name.
On the AddForm its sorted by first name, though the display is "lastname, firstname".
How can I change this?
This is a fairly common complaint. Unfortunately, short of building a custom picker (...seems like overkill to address this particular problem), there isn't anything you can do OOB within SharePoint to change this.
I will offer up this as a possible solution. The picker by default is just showing what it's getting from AD's displayname field. That format can be changed (google change format of ad display name)...assuming no one else in your organization/client minds. You could change it to FirstName LastName and while not ideal the sort would at least be logical. Cue the "it would be great if it sorted by last name" quotes from many of your users. :)