Setting up z/OSMF with CA ACF2 for z/OS for the first time under ACF2 r16.
Could not find anything specific in the documentation regarding CAX1JCL0 ACFMF* members related to the proper order to execute.
Release : 16.0
Component : CA ACF2 for z/OS
Recommendation would be to follow the IBM z/OS Management Facility Configuration Guide recommended steps and utilize the provided ACFMF* members in CAX1JCL0 as you already indicated.
Details can be found in the ACF2 documentation: Configure z/OS Management Facility for CA ACF2.
The above link has some helpful information related to the provided ACF2 JCL members in the installation your_hlq.CAX1JCL0 library that can be checked against the IBM documentation.
Note: ACF2 PTFs SO12969, SO12684, SO04537 and SO08630 add the ACF2 z/OSMF JCL members to the installation your_hlq.CAX1JCL0 library.
Based on a review of the above ACF2 documentation the ACFMFSEC job would contain the nucleus plus core services and would be the best place to start. Then you can determine what optional services you require based on the list at the above link.