Get the 2nd or 3rd occurrence of a value in a delimited string
You can use cross apply and the third parameter of charindex to get the position of the underscores.

declare @T table
(
  Name_Level_Class_Section varchar(25)
)

insert into @T values
('Jacky_1_B2_23'),
('Johnhy_1_B2_24'),
('Peter_2_A5_3')

select substring(Name_Level_Class_Section, P2.Pos + 1, P3.Pos - P2.Pos - 1)
from @T
  cross apply (select (charindex('_', Name_Level_Class_Section))) as P1(Pos)
  cross apply (select (charindex('_', Name_Level_Class_Section, P1.Pos+1))) as P2(Pos)
  cross apply (select (charindex('_', Name_Level_Class_Section, P2.Pos+1))) as P3(Pos)


Result:

-------------------------
B2
B2
A5


Update: Using your table the query would look like this:

select *, 
       substring(Name_Level_Class_Section, P2.Pos + 1, P3.Pos - P2.Pos - 1) as CLA
from Bookings
  cross apply (select (charindex('_', Name_Level_Class_Section))) as P1(Pos)
  cross apply (select (charindex('_', Name_Level_Class_Section, P1.Pos+1))) as P2(Pos)
  cross apply (select (charindex('_', Name_Level_Class_Section, P2.Pos+1))) as P3(Pos)
order by CLA asc,
         Name_Level_Class_Section asc


Update 2:

If you know for sure that your value never contains a period . and that it is always a four part name you can use parsename.

select *, 
       parsename(replace(Name_Level_Class_Section, '_', '.'), 2) as CLA
from Bookings
order by CLA asc,
         Name_Level_Class_Section asc