Natively, Project wont do this, but there is a work around.
1) set date to dd/mm/yy in preferences (as you have done)
2) Under the "Project) tab,Create a custom field and call it start date, finish date, or whatever dates you are trying to show.
3) in the custom field, click on "formula", then field -> date -> Start/finish or whichever.
4) Format bars (under "Format" tab) and choose the field you created.

this will then show date as dd/mm/yy.
hope that helps