those settings don't apply to the box calendar headings - they are for actual event formatting. So the day in the event will use that. It is not intended for 'day of week' formatting for box calendar headings but for actual day of the event: eg 28 Mar. So in the box calendar one might just have '28th' but not the day of week.
The large calendar uses the wordpress 'locale' functions to get the standard translated weekday abbreviation for the locale that your website is set up in.
To override that the only way I can think of is to do your own translations (great way to override standard wp text!!) and translate the abbreviations to full weekday text. BUT that would do it for your whole wordpress site - maybe not a good idea if some where abbreviations rea really needed/expected.
Alternatively you could use the 'weekscalendar' with 4 or 5 weeks - there each box is a specific day of the month (not just a day of the week), so in that case then it does use the day format from the settings.
Meanwhile I'll make a note in my long list of possible features to add to maybe make it somehow filterable or selectable without losing the translateability of it. Don't wait for that though...