Having the same problem here.
MOSS 2007 SP1 with the Infrastructure Update installed on Windows Server 2003 SP2 with SQL 2005 SP2. Everything installed using US-English software. Regional settings of the SharePoint Site (WSS Team Site Template) is "German (Switzerland)" (de-CH).
While the date picker on any SharePoint list, including the built-in Calendar/Events list, is showing Monday (as set on the Site Settings/Regional Settings Page) the published InfoPath 2007 SP1 Form displays Sunday as first day of week when opening the form via formserver.aspx as Web browser form.
Appears to be a bug in InfoPath/SharePoint. I'm going to re-check this on another vanilla virtual machine next week and if it happens there too, we're going to open a support request with Microsoft.
I'll keep you posted on the results.
Cheers,
Sig Weber