The {{day_of_week}} token is substituted into your message at the time that it sends. This is so Gem can always ensure to pick the right day of the week (even if you change the Sequence schedule later).
If you want to test that it's working, try sending yourself a sequence or click the Send me a preview button.
Have any issues or questions on this topic? Please feel free to contact your dedicated Gem Customer Success Manager directly or our Support team at support@gem.com.