Hi Soren,
I was able to fix this, I just updated the package for Event Calendar Pro 0.0.3.2, if you already installed that version just download it again and replace the /bin/sts.Events.Web.UI.dll file
Then you can force your site to use Danish from user.config like this:
<add key="UseCultureOverride" value="true" />
<add key="site1culture" value="da-DK" />
and this will make the date picker use Monday for the first day of the week
Best,
Joe