I solved the issue using changing the members-loop, adding:
<?php while ( bp_members() ) : bp_the_member();
$user = new WP_User( bp_get_member_user_id() );
if ( $user->roles[0] != 'pending' ) :
?>
I couldn’t get a solution trying to change the alphabetical sorting, but with this fix, I didn’t edit the sorting itself, but excluded the pending role from the members-loop altogether.
