I logged the issue with Microsoft here - the Repro is available for download: https://connect.microsoft.com/VisualStudio/feedback/details/741454/value-change-event-doesnt-fire-for-datetimepicker-controls-used-in-vsto-add-ins
If you put a DateTimePicker in a Excel VSTO floating Add-In and position it so when the calendar drops down, it is outside the edge of the add-in, see here:

Choosing any of the dates circled in the green works as expected, but when clicking any dates circled in red, it just closes the calendar drop down and doesn't set the date!
Does anyone know how I can fix this?
Edit
This SO user has experienced the problem using WPF: VSTO WPF ContextMenu.MenuItem Click outside a TaskPane not raised

The answer to that question shows the issue was reported to connect a while back but still no solution with VSTO 4.0 SP1: https://connect.microsoft.com/VisualStudio/feedback/details/432998/excel-2007-vsto-custom-task-pane-with-wpf-context-menu-has-focus-problems
One of the workarounds is to use the DispatcherFrame to pump messages and subscribe to GotFocusEvent and LostFocusEvent for the menu.