Found the answer:

When one applies the 'FilterId' using the 'setFilterId' operation on the SSC it inherits the last sort as applied in the default view of the filter in the standard VF page for the object that it being applied too! 

I don't know where on the object this information is stored at the moment or if it is even query-able.

public with sharing class ssctestcontroller {
	public integer pagesize {get;set;}
	public integer currentYear {get { return 2012; } set;}
	public ApexPages.StandardSetController setCon {
        get {
            if(setCon == null) {
                setCon = new ApexPages.StandardSetController(Database.getQueryLocator(
                      [SELECT Id, Name, StartDate, EndDate, Type, Status, Description, Owner.Name, NumberOfLeads, NumberOfContacts, NumberOfOpportunities, NumberOfWonOpportunities, AmountAllOpportunities, Exclude_from_Calendar__c FROM Campaign ORDER BY StartDate ASC LIMIT 2000]));
            }
            if(this.pagesize == null){
                this.pagesize = 2000;
            }
            this.setCon.setPageSize(this.pagesize);
            
            return setCon;
        }
        set;
    }
	
	public List<Campaign> getCampaigns(){
		setCon.setFilterId('_MY_FILTER_ID'); // when applied changes 'ORDER BY' regardless of DB QUERY in DB Locator.
		List<Campaign> returnedList = new List<Campaign>();
		List<Campaign> campaigns = setCon.getRecords();
		for(Campaign campaign : campaigns){
		 	if(campaign.startDate.Year()==this.currentYear || campaign.endDate.Year()==this.currentYear || 
	        	(campaign.startDate.Year()<=this.currentYear && campaign.endDate.Year()>=this.currentYear) )
	            	{
	                	returnedList.add(campaign);
	            	}
			}
		return returnedList;
	}	    
}

I'm going to try the other way of building the list first THAN APPLYING THE SSC to see if this affects the outcome.

UPDATE

Using the ALTERNATIVE method of applying the SSC doesn't affect 'ORDER BY' clauses when applying the filterId, see below:

	public List<Campaign> getCampaigns(){
		
		List<Campaign> setOfCampaigns = [SELECT Id, Name, StartDate, EndDate, Type, Status, Description, Owner.Name, NumberOfLeads, NumberOfContacts, NumberOfOpportunities, NumberOfWonOpportunities, AmountAllOpportunities, Exclude_from_Calendar__c FROM Campaign ORDER BY StartDate ASC LIMIT 2000];
		ApexPages.StandardSetController ssc = new ApexPages.StandardSetController(setOfCampaigns);
		ssc.setFilterId('00BU0000002cdTIMAY');
		ssc.setPageSize(2000);
		/*
		List<Campaign> returnedList = new List<Campaign>();
		List<Campaign> campaigns = setCon.getRecords();
		for(Campaign campaign : campaigns){
		 	if(campaign.startDate.Year()==this.currentYear || campaign.endDate.Year()==this.currentYear || 
	        	(campaign.startDate.Year()<=this.currentYear && campaign.endDate.Year()>=this.currentYear) )
	            	{
	                	returnedList.add(campaign);
	            	}
			}
		return returnedList;*/
		return (ssc.getRecords());
	}