as far as I understand it behaves as I would expect. So when it’s sorted by default, it’s sorted by a day-order column (this column is not visible at the screenshot you have provided).
When you tried to sort it by the Day column manually, it is then sorted by the literal values of day names, not by ids - ‘Čtvrtek’ is by literal sort before 'Pátek, which is before Pondělí which is before Středa. And Středa is before Úterý (which is the last at alphabet)
As far as I know, If you wanted to sort by day order, than you need to expose the day order to the form and then you would be able to click on it and that way sort by it.