It is indeed inconsistent. However, I think this is mostly because some bands have a sort order specified in the metadata and some don’t.
If the user sorts artists by last names, then it makes sense to me that Thelonious Monk Quartet is next to Thelonious Monk under M because else one has to look in two places. And if the user sorts by first name, then of course all of it should be under T.
The other thing, as mentioned, is that some people want all “The” bands under T but others want The Beatles under B and The Who under W.
It should all be fixable by editing the sort order where needed, on the artist page > Edit. For the “The” issue it needs the trick as in the post linked above.
There was an issue half a year ago where the manually edited sort order for groups did work in the artist browser but didn’t work in the albums browser when sorted by artist, but this was fixed in B1246. (I reported this here and a longish discussion ensued with lots of screenshots and examples, so maybe it’s interesting to you anyway)