Looking at their Online Documentation, there is an extension event BeforeHeaderRender
that you can subscribe to. Here you can change the column header label. See their example here
protected void DayPilotCalendar1_BeforeHeaderRender(object sender, BeforeHeaderRenderEventArgs e)
{
e.Html += e.Date.ToString('dddd');
}
EDIT:
Actual solution:
Setting the property DayPilotCalendar.HeaderDateFormat
to dddd
changes it to "monday, Tuesday..."