Customize the EE4 calendar category legend using bit of inline JavaScript. You can add this code to a custom plugin http://eventespresso.com/wiki/create-site-specific-plugin-wordpress-site/ or into your WordPress theme's functions.php file.

custom_calendar_category_legend_order.php

<?php
//* Please do NOT include the opening php tag, except of course if you're starting with a blank file
//* The example below moves the 4th category to position 1 and the 3rd category to position 4

function ee_custom_category_legend_order(){
    wp_add_inline_script( 
        'espresso_calendar',
        'jQuery( document ).ready(function($) {
            var options = $("#ee-category-legend-ul .has-sub"); 
            $( options[ 3 ] ).insertBefore( $(options[ 0 ] ) );
            $( options[ 2 ] ).insertAfter( $(options[ 3 ] ) );
        } );'
    );
}
add_action( 'wp_enqueue_scripts', 'ee_custom_category_legend_order', 11 );