Yes, that's has a been a problem with DBpro since the very first Dbpro alpha's, some 4 years ago.
One approach I used in the globe demo (I have no idea where that is today) is to roll your own rendering functions. Where sprites are stored in a array/list (your choice) then you manually sort the sprite list on their Z depth. Once sorted you run through and manually Paste the Sprites to the screen. Or you could create them (from the back sprite to the front), sync, then delete them. Which will allow Dbpro to han dle the sprite batching for you.
Another is to compress the Z. Since your game engine will most likely be keeping track of real Z, you can actually assign sprites a compressed serialized Z rather than the real value. To do that, you get the list of z's in an array, sort them, then run through and manually set each sprites Z to the array index. So if there's 10 sprites on the screen say, the sprites will range from 0 to 9. Regardless of what there 'real z' was. This will keep the priority/draw order illusion.
