Wrong first day of week in SSAS pivot tables

In a pivot table based on a SSAS connection I would like it to automatically filter according to last week:

On the server, this is treated as time dimension where the first day of the week is set to Monday.Unfortunately, Excel returns two weeks because it reads Sunday as the first day of the week:

I've checked to see if my computer's regional settings are inhereted in Excel, but this is not the case. What controls the first day of the week here and how can I set it up to Monday? My current alternative is a manully created time set that returns the correct dates of the last week. However, I would prefer to use automatic date filtering for the sake of usability.