From what I have read you can't sort by date.
Internet explorer stores the sorting of favorites in registry (HKLU\Software\Microsoft\Windows\CurrentVersion\Explorer\MenuOrder\Favorites
This allows users to sort favorites in their preferred way by using drag and drop. By default, new items are added to the end of the list to not disturb carefully sorted lists. The only automated way of sorting provided is sorting by name as you already discovered, but you can drag and drop any favorite to any place!
This is also the reason that change the sorting in the favorites folder itself does not change the order in the favorites menu.