As in Mohammad Rashid Hussain answer, it is a bug in magento 2 core.
One option is to fix it in magento core setup as mentioned in that answer.
Another option is to fix the problem in a custom module or a custom theme, since editing Magento core files is not a good idea.
Magento core files can be overwritten with later updates.
You should add the sales module to your own module, module.xml
file
<?xml version="1.0"?>
<config xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:noNamespaceSchemaLocation="urn:magento:framework:Module/etc/module.xsd">
<module name="Vendor_YourModule" setup_version="1.1.2" schema_version="1.1.2">
<sequence>
<module name="Magento_Sales"/>
</sequence>
</module>
</config>
Then you can create the sales_order_grid.xml
file under Vendor/YourModule/view/adminhtml/ui_component/
in your module and add the following code to it
<?xml version="1.0" encoding="UTF-8"?>
<!--
/**
* Copyright © 2013-2017 Magento, Inc. All rights reserved.
* See COPYING.txt for license details.
*/
-->
<listing xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:noNamespaceSchemaLocation="urn:magento:module:Magento_Ui:etc/ui_configuration.xsd">
<columns name="sales_order_columns">
<column name="created_at" class="Magento\Ui\Component\Listing\Columns\Date">
<argument name="data" xsi:type="array">
<item name="config" xsi:type="array">
<item name="dateFormat" xsi:type="string">MMM dd, YYYY, H:mm:ss A</item>
</item>
</argument>
</column>
</columns>
</listing>
you just have to add the part that you want to edit/overwrite.
Then you should use bin/magento setup:upgrade and bin/magento setup:di:compile.