Most modules will use the php functions date() or gmdate() to format the dates.
This will always use English words in the dates.
The WB settings will allow you to change the order, but not the words used.
There is a solution, but you will need to change the module code to get it working.
If you are not yet scared off

.. I will give an example below:
You will need to set the correct language once (could be done in the module, or in the template) using:
<?php setlocale(LC_TIME, "de_DE"); ?>
Next you need to change the date() or gmdate() calls. They should become strftime() calls.
Example (from the news module)
$post_date = gmdate(DATE_FORMAT, $post['posted_when']+TIMEZONE);
should become
$post_date = strftime("%d. %B %Y",$post['posted_when']+TIMEZONE);
(note, this will not use the WB date format settings)
That will show the dates in the format and language you want.
Ruud