Under Advanced Settings | Administration | System Settings | Select Formats | Customize | Date

we're able to set the first day of the week.

However this setting is organisation wide and therefore independent of the culture which is set in "Current Format" in each users personal settings.

So it should be possible, similar to the Date format etc. for the User to choose this.
Or it should alternatively be possible to define this setting individually for each Format / Culture.
Category: General