Do you get an actual cheque, or is it paid directly into your bank account? Here in the UK, my State Pension (Social Security has a different meaning ) is paid every 4th Monday into my bank account. We only get notification if it changes. The day on which it is paid depends on your national insurance number, so Mrs. L's is paid on a Wednesday! I wish it was paid monthly, like my occupational pensions. (of course, one month a year you get two pensions!) I expect that it's a hangover from the days when it was paid weekly.
In the past, pensioners received a 'pension book' which they would take to the post office every week on the specified day, and be paid in cash.