You haven't inserted the placeholder - click into each cell and then press the corresponding data in the data merge panel to place the placeholder into the cell. This placeholder will be used to merge the data linked to each cell.
However, this is a very complicated way to do it.
You could use auto numbering for a pargarph style - so in each cell you can place a Paragarph Return and set it to 0pt leading - then use Paragraph Numbering
Using a Paragraph Style you can change it globally easily
Once you set it up you just delete the date it doesn't start on January 2024 starts on a Monday (by chance)
So I'll delete the dates after 31
Then you can copy it and make the next one
Delete the days up to Thursday Add a Paragraph Return to make the 29