I have my Thrusters on Priority 1 one but I tried changing it while auto undocking... it was messed up: I could hear the left/right sound effect but the priority would stay on "1" then suddenly become "5", then "2", then "1" (for some reason never "3" or "4"..) but without being a coherent change, sometimes it would become "1" and stay there then become 2, then 1, then 5, then 2, then 5, then 1.. you get the idea.
However, once set at 1 it never changed nor did any other module priority after the April's Patch Hotfix of May 2nd.