Sorting via the Views menu in the Library only shows the bookmarks in the chosen sort order and doesn't change them permanently (hence the Views name of that menu).
Clicking on the header does the same.
If you want to sort bookmarks then you need to right-click a folder and use "Sort By Name" to sort that folder.

The Views menu in the Bookmarks Manager (Bookmarks > Show All Bookmarks) is for viewing the bookmarks in a different sorting order (hence the name Views) and doesn't sort bookmarks permanently.

• http://kb.mozillazine.org/Sorting_and_rearranging_bookmarks_-_Firefox
• https://support.mozilla.org/kb/Sorting+bookmarks

When you say right-click folder, do you mean right-click a Tag, when I do that the box options are 'Open All Tabs, Copy and Delete', no 'Sort By Name'

If not what is the folder? I have a list of about 12 tags which each have numerous bookmarks

What am I doing wrong?

You should right-click a folder.
You can do that in the left pane in the Bookmarks Manager (Library) or in the right pane, but you will only see a Sort By Name entry if you right-click a folder name and not for individual bookmarks or tags.