By default, Davis stations use hardware record generation. Also, the default for day plots is not to do any averaging, so the net result is that you're looking at every archive record as it comes off the console. The Davis archive records offer only 22.5° resolution, hence the quantized look.
For the week plot, you're looking at the vector average over (by default) one hour, so values other than 22.5° increments are possible.
If you really don't like the look of the day plot, you could switch to software record generation. Then you would see the vector average over the archive interval, rather than the discrete values that the console is emitting.
-tk