Try setting to short date format dd-MMM-yy and then edit a calendar event. When I edit my event which is shown on March 10 on the calendar, the edit window shows it as 03-Oct-08.
I think you understand the problem correctly, but it is apparently quite specific as to settings.
By the way, the BP import function has a similar issue; it appear to demand dates in the formal mm-dd-yy regardless of the computer local setting. These functions should respect the locale and accept the local format...
Many Thanks!