It's only a little complaint but, like you said it's a bit misleading.

Only when I click a second time I can see the newest bands added. Given that the button is named "last added", it would me more logical than when you click on "last added", I directly see the last added bands.

Yeah, maybe you're right after all. It is actually a bit misleading. On the other hand, it's just one click...

But why do I have to click two times to see the newest band. First there is the order by number of fans. When I click a first time, it's sorted from the oldest added (Nightwish) to the newest.

The default sorting is by the number of fans. Only when you click on "Latest Band Additions" on the front page does it sort by date. And in that case, the order is correct (sorted from newest to oldest).

Yes but when someone is clicking on "last added", it means he has the attention to see which bands were last added, which makes sense given that it is marked "last added" and not "first added".

Depends where you're coming from. For the occasional visitor it's totally irrelevant when which band was added.