Hmm, not sure that I've tried this before (I'll ask around and see if this is expected to work - but I don't think it is). Offhand my guess is that the system does not support multple load tests in the same run. Since all of the results in a run get stored in the same results stores (TRX file &/or SQL) with the same TestRunID, I believe, and a Load Test has a large number of results.
Both Load Tests & Ordered Tests are more "test containers" then they are actual tests and so they do not work well combined.
A simple workaround would be to run the Load Tests from the cmd line. You could have a simple bat file that executed each of the LoadTests in the order that you want. Something like:
MsTest.exe /testcontainer:yourloadtest_1.loadtest /runconfig:rigsettings.testrunconfig
MsTest.exe /testcontainer:yourloadtest_2.loadtest /runconfig:rigsettings.testrunconfig
MsTest.exe /testcontainer:yourloadtest_3.loadtest /runconfig:rigsettings.testrunconfig
Would run each of the three loadtests one at a time. The results will be stored seperately, instead of in one TRX file as it woudl be if they were in one test run, but other than that it shoudl be pretty close to what you want.
Hope this helps,