You can change what day your Events Calendar begins by changing a setting from the Wordpress dashboard. However, this setting is not located within the Events Calendar settings.
To change the setting, navigate to the Settings panel on the left-hand menu on your Wordpress dashboard. Hovering over the Settings panel will bring up a menu of items, click on the "General" subpanel from that menu as shown in the image below. Please note that the menu navigation route is highlighted using green boxes:
Once you have accessed the General Settings area of the Wordpress Dashboard, you will notice multiple settings that you can change. The setting for what day your week begins on the Calendar is located at the bottom of the list:
Select the day you wish to begin the week for your Events Calendar from the dropdown menu.
Click save changes.
Refresh the webpage with the Event calendar and you should see that the changes have taken effect. If the changes do not take effect immediately, wait several minutes and refresh again.