As far as I'm aware, the setting you spoke about in the app is a Display Preference for Garmin Connect, but Intensity Minutes is actually accumulated and reported by the device itself to GC (which then doesn't do any post-processing with that information) – and it's a Garmin design quirk that all weekly Intensity Minutes are counted from Monday.
Garmin Connect does not calculate the weekly intensity minutes, but only presents what the wearable activity tracker device tells it. If you want the weekly intensity minutes to be calculated from Sunday, then you need to tell the device that - except there is no such setting, and the app's Display Preferences setting for the first day of the week does not apply to the watch. If you believe the absence of such a device setting is a product defect, then raise the issue as such.