Deep auto-encoders (AEs) are widely employed deep learning methods in the field of anomaly detection, especially detection of security malicious activities. Cybersecurity analysts face challenges in managing a large volume of alerts, often constrained by limited processing resources. In response, various strategies, including false positive reduction, human-in-the-loop and alert prioritization, are employed. This paper explores the integration of uncertainty quantification (UQ) methods into alert prioritization for anomaly detection using an ensemble of AEs. UQ models recognize doubtful classification decisions, aiding analysts in treating the most certain alerts first (as a more certain alert is more likely to be accurate). Our study reveals a nuanced issue where applying UQ to an ensemble of AEs can lead to skewed distributions of large reconstruction errors, falsely indicating large standard deviation uncertainties on certain classification decisions. Contrary to intuition, AEs suggest that large reconstruction errors could indicate small uncertainties. To address this, we propose an extension for obtaining a calibrated standard deviation uncertainty distribution, mitigating erroneous alert prioritization. Evaluation on 6 benchmark intrusion detection datasets demonstrates that our proposed calibration approach enhances UQ methods' ability to prioritize alerts with a favorable trade-off in other invaluable performance metrics.