I'm in Pacific time, so I haven't used these settings, but...
Once loged into your mail window, the top has an Options link. In Options, you can change your timezone. Mine is currently, and by default, set to Same as Server.
What's odd about your time issue is that the left pane with the mailboxes shows the Last Refresh in 12hr mode. Even my message lists are in 12hr time. And so are the message headers. (I'm going through all this right now as I type).
Seeing how I can't get stuff to show up in 24 hour mode, I don't know what to say. I see no options to change this.