Pandas KeyError: value not in index

Use reindex to get all columns you need. It’ll preserve the ones that are already there and put in empty columns otherwise.

p = p.reindex(columns=['1Sun', '2Mon', '3Tue', '4Wed', '5Thu', '6Fri', '7Sat'])

So, your entire code example should look like this:

df = pd.read_csv(CsvFileName)

p = df.pivot_table(index=['Hour'], columns="DOW", values="Changes", aggfunc=np.mean).round(0)
p.fillna(0, inplace=True)

columns = ["1Sun", "2Mon", "3Tue", "4Wed", "5Thu", "6Fri", "7Sat"]
p = p.reindex(columns=columns)
p[columns] = p[columns].astype(int)