I suppose that it is necessary to indicate the problem on the bug tracker ?
Well, not in the Lazarus bug tracker, as it's not a Lazarus bug.
The Calendar component is just a wrapper for the common controls Calendar component that Microsoft made. And basically Microsoft gets these settings from it's locale, that was basically the registry entry I showed.
Ideally the inconsistency is not ideal, from what I can tell Microsoft gives no option for changing this from the component level, only the registry. To be consistent Lazarus would need to examine this registry too, and WeekOf/WeekOfTheYear would need modifying too. Not sure what the Dev's would make of this though.