You are correct Coastal, at least for the Pico 25, it cannot be changed via the toolbox....well it can, but it wont actually get uploaded to the device. I believe the setting is in the same menu as the setting for switching time from 12hrs to 24hrs...it is called "regional" on the mod itself...Regardless, as mentioned, it is of no use to change it in the toolbox as it won't change on the mod itself via this method.(it has never worked for me anyway)
I DID find a way to do it on the mod itself though, you have to access the AF settings on the mod itself, below is a link to the AF "manual"(link can be found on the official NFE forum, under "info guides & reviews" if it doesn't work here).
The section you are looking for in the manual is 6.4 the "settings menu", and you will need to navigate to "regional" settings on the mod...
NFE Products Manual (<- AF manual)
I found there were a number of settings in the toolbox that simply will not upload to the Pico 25, but they can be accomplished by setting them up on the mod itself via the on board menus.
Hope that helps.