Hey!
I believe the Admin->Locale settings are used to set a global default.
In essence, it uses this value is no other is found. (ie: when creating a new user)
However, you can set this on a by-user basis too, which overrides the global default.
If you go to your User Profile → Advanced Tab, you should see the same option:
If you modify it here, do you see any change to the date format across the CRM?