From the Sort-Merge/XL Programmer's Guide manual, page 1-5:

"You may use multiple keys. The major key determines the part of the record examined first in the sort. As Figure 1-4, Key Comparing Operations shows if the major keys of two records are the same, the secondary keys determine the new sequence of the records. If two records have the same first keys and the same second keys, their third keys are compared to determine the sequence. If all the key fields in two or more records are identical, the output file preserves the order of the input records."

The last sentence is most relevant. The technical term for this is a stable sort. The ANSI COBOL standard requires it, so if HPSORT changed, there would have to be an option to enforce it.