If it is the example in the timezone settings you're referring to here:
Then this is expected behaviour, and is correct by definition according to ISO standards, because this is not the time, it's a timestamp.
This way there is no ambiguity about the time being referenced, and it's the only place in WordPress where a timestamp is used in the admin UI. As such it does not follow the date format settings or the time format settings, because it isn't a formatted date/time, it's a timestamp. Timestamps have standardised formats
Because the americans insisted on MM/DD/YYYY, and the rest of the world uses DD/MM/YYYY, everybody got together in 1988 and it was agreed that the canonical correct universal format was YYYY/MM/DD, aka ISO_8601 for which there was no ambiguity. A number of other date standards were replaced at the same time
As it's a timestamp, it takes that format. Unless you're displaying full timestamps on the frontend though, this is the only place it will appear in that format
For more information, refer to https://en.wikipedia.org/wiki/ISO_8601
Specifically the section on calendar dates