The error is not in docs.mendix.com somewhere but in the datagrid widget:
Entering the letter u in the CustomDateFormat field triggers an errormessage showing up ‘invalid format u’, blocking you to get the correct result. And ‘E EE EEE’ gives “Mon Mon Mon”, not "1 01 Mon”.
This is also faulty in 7.20.3 and probably ever since this feature is introduced. You best raise a ticket at support.mendix.com and likely they will solve it in several bugfix-releases.
The documentation for the Data Grid widget (and other widgets) is actually correct: the tokens specified in that legend apply to the client-side formatting, which uses the Dojo formatting tokens (where the day-of-week is represented by the token ‘E’). However, the formatting functions in microflows use the Java formatting tokens, which uses ‘u’ for day-of-week.
If the documentation is wrong then I think you can make a pull request to the documentation to fix it. Check out this link
In older versions I’ve used ‘u’ with formatedate to get the day of the week as an integer.