In playlists, all sorting is done including prefixes like 'The' and 'A'. So e.g. The Rolling Stones is sorted under 'T'.
In "your library" sorting ignores these prefixes. So, The Rolling Stones is sorted under 'R'.
This is inconsistent and very confusing and a bug. At least it should be made consistent. I hope someone can confirm this problem, so that it can be fixed soon.
(Using the Windows desktop client 22.214.171.1245.g566c8beb)