// set grid column caption to first letter of day name
 for i := 1 to 7 do
 begin
   grdCal.Columns[i mod 7].Caption :=
FormatSettings.ShortDayNames[i][1]; << Stops here
 end;

Workaround:

   d := FormatSettings.ShortDayNames[i];
   grdCal.Columns[i mod 7].Caption := d[1];