No the order has no impact.
The sources I am testing are :
Amarok, Dragon Player, and the system notifications.
They all are KDE applications which use Phonon (there is no sound settings for these applications).
They do not claim the audio device exclusively because If I click on the button to come back to the other device, I can play sound from multiple applications at the same time on the same device.

This is highly unusual. I'm afraid I do not why this is occurring.
One last thing to try - install Juk and use it to playback audio. I suspect it will give the same results as you get with Amarok.

If this is the case, then the only thing which makes sense is your system having different device preferences for each category, as that is the only factor between Amarok, Dragon Player and System Notifications.

I would suggest taking a look at http://techbase.kde.org/Development/Tut ... ing/Phonon for further information if this is not the case.

juk does the same thing.

Meanwhile I upgraded to kubuntu 13.04 (KDE 4.10.1) and the behaviour changed a little.

Now the first time I play a sound it switches to the 2nd sound output device claiming it has an higher prirority. But if I stop and play again a sound it switches back to the first sound output device, still saying it has an higher priority...

Now that is definitely very unusual, and is a strong indicator of device contention or locking issues.
I suggest asking your distribution for help here - as Pulseaudio seems to be having issues deciding what to output where, despite the preferences KDE is communicating to it - which may indicate a bug in Pulseaudio itself.