I can confirm this issue on my version of Visio too. I don't have a solution for the problem but I googled and found an article talking about it here
Visio Date Format Pictures Affect Data Entry via the Calendar Popup - bVisual
I had a play with the Windows Regional settings and note that if I change Windows to use a US regional format then the date picker in Visio gives a correct answer. Of course this is a dud solution for the majority of the world's population so hopefully someone else can find a way to solve this.