How does MS SQL Server decide when it can use "Parallelism" when executing queries?
SQL Server makes this decision based upon cost. If you execute 'sp_configure' (make sure advanced options are enabled) you will see an entry for 'cost threshold for parallelism'. If the optimizer estimates the cost to be greater than the run_value then your query will be executed in parallel. 

If the ORDER BY clause in your example results in an increased cost, then the query will go parallel.