After you entered the range in the name box next to the formula bar, did the chosen range highlight?

???????????

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After you entered the range A1:A30, and then press Enter, the chosen range is highlighted, but only A1 is selected and displayed in the Name box.

My 2nd statement means only the date formats that are marked * can auto-switch from one month to the next.

It works perfectly for me.

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Yes A1 is selected and displayed after typing a1:a30 in name box, Ta Pecoflyer that's something new for me, as that's where you type the formula. Then CTRL-Enter fills the formula to the selected cells.

Not sure how that would work for an autofill that isn't a formula, ie fill A1=1 A2=2 to a30

I don't know what version of excel you're on but *Dates are used to translate to a new locale.
Typing 1/1 or 31-Jan or 1/1/14 and then 2/1 (as per original) will autofill when the handle is dragged or you use CTRL-downarrow.

I've only ever seen the problem with filling dates in any format when you've pasted or imported the dates and Excel is confused about the format. Format cells and selecting dd/mm or dd/mmm/yy ofn doesn't work. Best way I've found to get Excel unconfused is to
1. select the text to be filled and then paste values or
2. select the Use Text wizard option when you paste.
3. Sometimes the Error box allows changing to dates but that's usually for numbers stored as text.

Yes, after typing a1:a30 in name box, and press "enter" or "ctrl enter" straight away would select the whole range (a1:a30) typed in the name box. But then, the name box is auto-filled with only a1, and whatever value you type in the formula bar, excel only input that value into a1 and not the whole range.

My version is MS Office Excel 2003 SP3.