Recently, I needed to display the weekday in a column heading. It turns out is was a little more complicated than specifying a function to extract the day of week. You need to combine several functions.
Because this report was designed to show the last seven days, I needed to make it flexible with no hard coded names.
Note that based on the date that is evaluated, the WeekDay Function returns a numeric value to the WeekDayName Function, displaying the name of the day in the column header. Use the same logic in your column groups and you are good to go.
= WeekDayName ( WeekDay( Fields!YourDate.Value ) )