Hey,
This is very odd. What you have should work.
I took your example and stripped it down and sorting works great.
{exp:channel:entries channel="blog" sort="desc" order_by="entry_date" show_future_entries="yes" limit="5"}
{title} - {entry_date}
{/exp:channel:entries}What do you get if you place the above in a template all it’s own and then replace blog with your channel name?
We may need to login and take a look if this example does not work. I am running out of ideas.
Cheers,