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The settings are used only for reporting purposes and does not work in calculated fields. You will need to create a new calculated field for fiscal year and use it accordingly. You can refer this: https://community.tableau.com/message/629915#629915
What you're looking for is a FISCALDATEPART(), but Tableau doesn't do that.
We make our own fiscal year calc where I work. (Fiscal starts in October here.):
if month([EndDate]) >= 10 then year([EndDate]) +1
Thanks Joe and Hari, I didn't realized that the setting was for reporting.@