I don't think the penalties order was an issue at all. Sterling has a terrible record, Henderson missed against Colombia in 2018, Shaw has missed for United. The only questionable one was Grealish as he has good technique but it's been said he volunteered and was up next, either way a non-issue really.
It's a penalty shoot-out, it can go either way, the more noticeable factor was the man mountain the Italians had in goal. He guessed right pretty much every time, and waited on both of Rashford and Sancho's stuttered run-ups, clearly he'd done his homework.
As has been said England should not have settled for penalties, I think Southgate will look back and regret the choices he made. Firstly only making 2 subs before the 119th minute, whilst the Italians had made 6. There's been a lot of games in a short space of time with little rotation, a lot of the players were dead on their feet whilst the Italians were fresher. Secondly, not attacking that Italian backline with the attacking subs we had. Chelleini was pushing into our half in extra-time, purely because we had no legs to attack with. Get Grealish, Rashford, Sancho on earlier and get them running at the Italian backline. I think Southgate will look back and realise it was a mistake, it's a good thing to be defensively solid, but it is a hindrance to be too afraid and thus too defensive.