There is another way to sort the names of week days:

In the source table, add a new column by extracting the number of weekday from your date column. Then add another new column by extracting the name of the weekday from the same date column. Then sort the column with names by selecting the column and going the Modeling tab and selected column with day numbers from the Sort by Column.

The advice is originally taken from here: Order day names in a line chart in power Bi