If an Itemid is preset in the JRoute'd url, then Joomla believes you are attempting to map a view from your component to an existing menu item. So it does what it can with the sef url's and then it appends whatever query vars it knows what to do with. It discovers what to do via the router.php file in your component. Take a look at the com_banners/router.php for an example on how to build that. Also, to get the option to create a "My Component Orders" link when adding a new menu item, you'll need to add a com_mycomponent/view/viewname/tmpl/layoutname.xml. This xml file contains data needed by Joomla to be able to assign your component view to a menu item. This file can also get really complicated with all it's options available. To see a fullblown file with all it's options, take a look at com_content/views/categories/tmpl/default.xml. However, they bare minimum to assign your view to a menu item is:
<?xml version="1.0" encoding="utf-8"?>
<metadata>
<layout title="My Component Viewname">
<message>
<![CDATA[Description]]>
</message>
</layout>
</metadata>
This will allow you to create the specific Itemid for the view that you want to use.
So, what you're experiencing is expected behavior. Joomla tries to do the best it can with the info it has. The more info you give it (a router.php or a layoutname.xml) the better and more consistent it will be.