Tom,
Please note that there are multiple timesheets. You also can configure the calendar for entire organization in Global Settings and for Projects and Groups at those respective areas. Odds are that the Project level Calendar that you are working with is configured to use a standard calendar.
Notes
If you add all days at the User level, this will be reflected on Work Items (i.e. Tasks and Resource Availability) but it does not get shown that way in Timesheet module. The timesheet module is based on the Organization Level Calendar in Global Settings.
In order to see the Timesheet reflecting the work week start as Friday instead of Monday, this needs to be done at the Organization level (Settings --> Global Settings --> Calendar). You can specify the Week start on <> here, but not at User level.
Sincerely,
Boris