If the dates are not already in order by date, these values must actually be text that just happens to contain months & years. You can make these into actual dates instead of plain text or “strings”, and then they would be sorted by date by default.
If your data source happens to be Excel, there is a way to do this by editing the data connector and changing the column’s data type to Date/Time. Otherwise, you can use a data cube and its Data Conversion transform to change this column to DateTime. You may also be able to change the data type in your original data source or through a query.
When converting to dates using Dundas BI, you’ll need to specify what format your values currently have. If they are like “January 2020”, the format would be “MMMM yyyy”. For “Jan 2020”, it would be “MMM yyyy”. (The full list of formats can be found here.)
Once values are actual dates, you can expand them in the Explore window to find a time dimension and drag the Month level onto your metric set.
Hope this is helpful.