If you’ve given a party orders from the Parties dialog or a Party dialog, you have to click once to unset the order, then twice more before you can click in the world to set a new order flag. The first click does nothing.
One workaround is to untoggle the order, then close the dialog window and re-open. Then you can click on the order and get the flag to place straight away.
Also, the two kinds of orders are cross-polluting, between each other and between different parties. If you set the attack order flag and then try to set the defend order, you’ll have to click twice before you can set the defend flag.
There must be a single flag that determines if you are able to set an order flag. That flag toggles when you click any “place order” button (and subsequently place the flag), but not when you click a “remove order” button.