Putting adverbs such as "on Wednesday" in the beginning and at the end of sentences

I would say the difference is that your first example emphasizes when the event took place, and the second example emphasizes what you did at that time. Otherwise the two examples mean the exact same thing.

In reply to "Why didn't you go shopping on Thursday?" your sentence 2 would be a normal reply, since it would explain that you didn't need to go shopping on Thursday because you had already done so on the previous day. However, your sentence 1 with normal sentence intonation would be incoherent.