A warning should give you some idea of why this is happening:
UserWarning: 'set_params()' not defined for locator of type <class 'pandas.tseries.converter.PandasAutoDateLocator'>
str(type(self)))
Use instead plt.xticks(times.to_pydatetime()):
import numpy as np
import matplotlib.pyplot as plt
import pandas as pd
import matplotlib.dates as dates
y = [0, 0.86, 0.826, 0.816, 0.807, 0.803, 0.804, 0.803, 0.802,0.81, 0.813, 0.813, 0.813]
times = pd.date_range('2015-02-25', periods=13)
fig, ax = plt.subplots(1)
fig.autofmt_xdate()
xfmt = dates.DateFormatter('%d-%m-%y')
ax.xaxis.set_major_formatter(xfmt)
ax.plot_date(times.to_pydatetime(), y, 'v-')
ax.xaxis.set_minor_locator(dates.WeekdayLocator(byweekday=(1),
interval=1))
plt.xticks(times.to_pydatetime())
ax.xaxis.set_minor_formatter(dates.DateFormatter('%d\n%a'))
ax.xaxis.grid(True, which="minor")
ax.yaxis.grid()
plt.tight_layout()
plt.show()

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