Why is the order in which the ghosts teach Scrooge important?

Past comes first to bring nostalgia and a remembrance of the way he used to be. It brings Scrooge to a point where his heart is softened, which is the first thing necessary if change is to occur.

The ghosts then take this more compassionate Scrooge, and they expose him to the realities around him. Now that his heart is more open and soft, he is compassionate and empathetic to the plight of Cratchet and his son Tiny Tim. The ghost of the present builds an attachment to the child by playing on Scrooge's newfound sympathies.

The ghost of the future is the kicker, he brings a sense of urgency to the situations that Scrooge is faced with in the present. Death comes to us all, and after death it is too late to change. Also, Scrooge is faced with how he is perceived, the legacy he will leave after himself, and the consequences of his current course of actions. It is a matter of hind-sight being 20/20.

So yes, the order of ghosts matters.